I'm happy with the prices I pay at the Sony store (personal preference), so I get my books primarily from there. I also get books here on MobileRead and have once or twice used fictionwise. I also just downloaded a freebie from Smashwords (and those books will be available on Sony soon) by a MR author. When it comes to popular books, I'm usually happy as long as the books are cheaper than their paper versions somewhat. Plus I'm lazy
If you like Scifi/fantasy, you should check out the Baen Free Library. I don't know much about it but I know quite a few members on here love it.
Sony's, and most readers in general, don't handle PDF very well. It's a pretty icky format. Usually it's basically a picture of a book, so when you zoom on a small screen, you can imagine how it looks. Sony Readers reflow them, but it's not ideal. Are the role playing books only available in PDF? I wouldn't be surprised if some enterprising individuals made them into different formats.