If you look at the
E-book Reader Matrix, there is an entry for Note taking / highlighting / underlining. Most devices don't include any such capability. The Sony PRS-700 has highlighting, but I don't know how (or if) it is exportable to a PC. The PRS-700 is also expensive, and your cheapest option is therefore probably a used Kindle 1.
This would be a natural capability to include in devices with a touch screen, and there will likely be a few more of these soon (
Astak first prototype of Mentor Intrique TOUCH).