There is some discussion about that point, and certainly room for personal taste, except for one point that seems to be largely (if not unanimously) agreed upon: stay away from PDF files. The reason I say this is that most PDF files are formatted for a 'page size' that's nearly four times the size of the Reader's display, and those files are all but illegible on the Reader's screen. If a PDF is sized properly for the display, it's great, but very few are.
Personally, I find I get a nice experience with RTF format. But usually taking the time to convert to LRF is worth it. You get a smaller file size, pictures (like cover art) and a bit faster response time on page turns. Most folks seem to start with RTF and move to LRF after a while. But again, that's mostly personal preference.
The Reader only supports DOC in that the ConnSoft will automagically convert it to RTF for you. As to differences in appearance, the biggest one is that you'll need a larger font size than you'd expect in an RTF in order to read it comfortably.