As you say, Sony's own LRX ebooks are locked to their devices only. The Sony PRS-505 and 700 also support PDF and ePub with (and without) Adobe DRM. Most ePubs and PDFs you download from ebook stores include Adobe DRM, but their are exceptions. It is possible to circumvent Adobe DRM,
search for ADEPT in a thread's title for more information including a discussion of when this is legal. Once an ebook is DRM free, you can also format shift it to the best format for the device (e.g. with Calibre). So if you don't like the jetBook's ePub, try its FB2 (say).