Right now, there are going to be more titles available in Mobi than BBeB format (well, except that Mobi's server is down at the moment).
Presently, the Sony Reader only handles DRM on their own BBeB books (that is, Sony's format), but they
have said they're going to pursue Adobe's Digital Editions format, so that will likely change when it comes about.
One thing to note, there are a whole bunch of books out in .LIT format, and it may be legal for you to remove the DRM from them (which is apparently trivial to effect), at which point they can pretty much become any format you like. Don't know if that option is of interest to you or not.
Out of curiosity, what is it that you don't like about the Sony's book marks? I don't think I've heard of anyone not at least thinking they're okay, and I'd genuinely like to know what it is that bothers you with them.
