Welcome to MobileRead, monkius!
The PDF format does support internal links, and if you're generating the files yourself, you'll probably be able to get a page and font size combination that'll work for you -- A4 PDF's just dont' work very well, as you might have read.
As for handling one, you might see if there's a Fry's or SonyStyle store near you that will have demos out. Try the
Dealer Locator, if you haven't already.