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Welcome to MR. First thing, let's get the terminology right, to avoid confusion. An "e-book" is the actual book that you read; an "e-book reader" (some people prefer "e-reader") is the device that you read it on.
The ebook world is basically in two camps - Amazon, and the rest. Amazon use a proprietary book format; the rest of the world uses a format called "ePub", which you can (broadly speaking) buy in any eBook store (except Amazon) and read on any device (except Amazon's).
There are numerous devices availables; a good place to start would be the comparison matrix in the Wiki here at MR (click the "Wiki" link in the menu bar at the top of the page).
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