i buy lit files for converting if no epub version is available, because lit is a very thin wrapper over an html core so usually gives good results. i don't have any experience with it on a device but i've heard it's not very well supported.
epub is a superior format to mobipocket for many reasons ; you should definitely prefer that for your personal use. there are many formatting options in epub which are not at all supported by mobipocket. also, mobipocket uses a lot of odd proprietary code, which it's best to avoid. epub is an open format and uses just xhtml and css, this means you can get excellent formatting results and not worry about your files becoming obsolete / inaccessible.
take a look in the epub forum for more info and don't hesitate to ask any questions, we have some real pros around here.
