The programs I use:
FBReader -- I like the layout of this one, how you can tinker with book details in your library. It has limited filetype support, although it works well with EPUB.
uBook -- It doesn't have much in the way of library support, but you can change layout of the books to a certain degree, the sharpness and feathering of fonts. It supports EPUB, HTML, TXT, RTF, CHM, RB, PDB and PRC (unsecure). You can set it to "roll" down pages.
Microsoft Reader -- Very slick looking LIT reader. Can handle secure LIT files (of course...)
Mobipocket Reader -- If you join one of the libraries (i.e. Fictionwise library) you can use this one to read a fair number of books! Handles secure PRC files.
Those are the ones I've on my computer, and make use of.
On my Ipod Touch I have Amazon Kindle App and Stanza; they work very well for what I want to do, although I wish I could read the Fictionwise library books I'm sure someday a mobipocket app for iphone will be release ... although rumours go that Amazon quashed it. Sigh.