Edit added: I first started reading on a PDA, but wanted something with a larger screen.
My first device was the
Cybook gen 3 - I had (re)discovered ebook reading devices shortly before the Cybook came out, and in Europe at that time there wasn't much to choose from (I really liked the look of Sony 505). I got the Cybook mainly to read fan fiction on. I'd read on my PC screen for several years, and it was okay, but it would be nice not to have to sit at my desk to read.
Then I broke the Cybook's screen half a year later and used the opportunity to get the
Irex iLiad. The bigger screen was really nice, but overall I found it too heavy, couldn't hold it with one hand like the Cybook, and it had developed an annoying page-turn button issue. So I sold it again.
And bought a
Hanlin V3 (Bebook, Astak). Nice, solid, non-fancy, light, good button placement - but I never had a good relationship with the software, and now you could buy Sony 505 in Europe, and I discovered I really, really wanted one
So I sold the Hanlin and bought a
Sony PRS-505. It was a good match. I liked the look and it 'just worked' in many ways. It did make my hands cold, but great apart from that and a silicone skin helped a lot.
Now I started to branch out and bought a 10'' DR1000 to supplement the 6" screen. It's nice but I don't use it as much as I had hoped I would.
An then came that....
Kindle International. I really like the dictionary, it's very useful, and I like the keyboard and general physical design. Good button placement, the wide bezel means there's something to hold on to, and it's much easier to use a physical keyboard than an onscreen one (I HATE the keyboard on my Touch).
Most recently I bought a
PocketBook 360 to supplement the relatively large and heavy Kindle. It's super-light and small with a decently sized screen, and great for taking with you.
My concerns with choosing e-readers have mainly been:
1) weight - just because I can live with heavy books, doesn't mean I should accept a heavy device.
2) ergonomics - needs to be easy to hold and the page-turn button should be easy to manipulate
3) firmware - best if it 'just works', I want to read, not tinker with a gadget (well, not much

)
4) dictionary and note-taking functionality - I didnøt know I needed this, and I don't use it with every book, but it's really great to have when I need it.
5) screen size - I still wish for something a little more like a usual book page. 8'' and a weight of 150 gram would be ideal.