I can elaborate on the iLiad. While it is pricey, I believe it's the only device that will read your formats (well) without conversion. And even then, you need to install FBReader on your iLiad before you'll be able to read CHM files. I'm not familiar with fb2, but it says it's supported on FBReader's page as well. The iLiad is very open, and with enough work (or begging to a developer

), you can put just about any linux program on there you'd like.
To Sum it up:
Downside: Cost, Bartery life
Upside: Open, Only ebook device that supports your formats without conversion.