Hi LOL and welcome aboard! You might also check out
www.manybooks.net which has most of the Project Gutenberg books. I find it a little friendlier in that you can select to have the downloaded already formatted for the Sony Reader, rather than converting it yourself.
If you get interested in doing your own conversions you'll find plenty of instructions are posted on this site. If you've got Microsoft Word on your computer it can be as easy as loading a file, doing a little reformatting and then doing a "Save As" in .rtf format. This does a pretty good job for simple texts.
The books in the download section here show what you can do with some more complex tools to get nicer looking results with more features (e.g. linked table of contents, etc.)
As was mentioned above, Adobe announced a new ebook format that supports protected content and that will cross multiple platforms. We're all waiting to see if Sony will support it on the current Reader. This would be a great solution for electronic library loans.
Another nice feature of this format is that text can "reflow" to fit different screen sizes, so it should look as good on something the size of the Reader as it does on a computer.
Cheers,
Bob