The first place to start is the
MobileRead Wiki Conversion Page
It lists the current converters and links to more information about them.
For me the best format for my Sony Reader (at the moment) is RTF. I use Stingo's MS Word macro for formatting the text. It removes the hard returns at the end of each text line and keeps the paragraph structure. It also removes excessive blank lines, extra blank spaces within the document, standardizes type, and sets the font size. You can also pick either left justified or fully justified paragraphs. I have now formatted over 100 books with it -- a lot of them from Gutenburg.