My best advice would be first to try to convert them all to the same format. HTML is probably best. I personally would probably use
AbiWord, which can convert most Word Processing formats (doc, docx, odt, etc.) to HTML--even PDF--though the results are not always perfect. Of course, calibre can convert PDF to HTML too. You could do most of it with MS Word too (use filtered HTML as output); I mainly use AbiWord, since it runs on linux, which I use, and you can do conversions from the commandline, which makes it easy to script for batch conversions.
Then create another HTML document that links to all those HTML documents. I believe if you then convert the HTML file that links to the others into ePub with calibre, it'll pull all the others into the document with it, with a ToC. Prince XML might be able to do a nice conversion from a set of html docs to PDF too.
If you got them all into PDF format, you could probably combine them with pdflatex with a ToC, though that's got a much steeper learning curve.
I'd be happy to provide additional help with, e.g., batch converting and the like, but it would help to know what operating system you're using.
Would it be "good enough" just to convert all the files into separate files useable on your device and just use its menu to choose between them? (You could use a genre or tag to separate them from your other ebooks.)