The only reader that can search across all its ebooks is the Kindle. The Kindle 1 and 2 don't support PDF directly (they get converted to MOBI off-line), but that has the advantage that the converted PDFs are included in the search. The larger Kindle DX supports PDFs natively, but their text is not included in the device-wide search.
So far as I know, most devices support search within the current ebook. OpenInkPot (FBReader) certainly does, but not for PDFs.
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