I'll usually use ePub and PDF as my 'master' copies and keep those.
PDF really doesn't have any good way to convert away from it into a reflowable format, so it is a really good idea to keep it around. Who knows when you will get a shiny Kindle DX or other large-screen PDF reader that can display those things beautifully.
ePub I usually convert to and keep the ePub as the master at that point. Reason being is that I am a bit more technically inclined, so if I find an error, I find it usually quick and easy to fix the ePub and move on. I don't need weird special tools beyond a command-line window and a text editor for the bulk of the changes, which is the main reason I use ePub as the master as well.
Beyond that, I'll keep conversions from these formats I've used on a specific device (although now I pretty much only have been using devices that support ePub/PDF natively, so I haven't had to convert to MOBI in awhile).
Of course, this ignores my comics which I'll use the CBZ/CBR as the master, but that's another topic.