E-books without DRM are usually available in multiple formats (buy once, download as many formats as you want). These are always downloadable to a PC.
Baen Books for science fiction and
Fictionwise multiformat e-books are good examples.
For e-books with DRM, your best bet is MS Reader format (e.g. again from FictionWise). These can be downloaded to your PC, and, if it is legal to format shift where you live, the DRM can typically be broken with the ConvertLIT program.