Welcome to Mr, ExiledV20.
We have all gone through the overwhelming stage as newbies.
I have the Sony 505 and love it. I don't use pdf nor do I do any conversions... I'll wait for a more experienced member to answer that part.
I prefer the lrf and epub formats with the Sony store DRM'd lrx next. I choose pdf very last if I have no choice.
I like the fact that I can download library books to the Sony if I so choose. That way I can read the new releases for free. Many members belong to the NY public library among others and will answer questions about this if you are curious.
I hope you are able to make a decision soon and start enjoying the experience of reading on an e-ink device.