Hey, drogo, long time no see!
FAT should be fine, I think my SD card is FAT32, and I've not had a problem with it. It doesn't matter where you put them on the card, the Reader will go through the whole thing and find them.
Of the file types you've mentioned, only TXT, PDF, RTF and LRF will show up on the Reader -- it'll ignore the other files entirely. You also don't need to load the files through the ConnSoft, just dropping them on the card from your OS will work fine -- including the LRFs.
If your PDFs are A4/Letter sized, they'll be way to small to read, but if you want to try out a PDF sized correctly for the Reader's display, you can find the details for that in the
Reader's Wiki Entry.
Have fun playing with the toys, and don't blame me if you can't bring yourself to leave the store without one.
