It's technically very possible since .azw is actually the same as the regular mobipocket .prc format with different DRM protection, but it'll never happen. Amazon is evil, and letting the Cybook read their files would destroy the monopoly they're trying to create.
Crewpsu just posted an interesting article in the Content forum related to this whole topic. Here's a link:
E-book pricing article
If you are still interested in the Cybook I would recommend looking at places other than mobipocket.com to get an idea of pricing. Places like
Books on Board are a lot more reasonable.
OOPS, you ARE Crewpsu. Well that's a hilarious mistake. Anyways, what is possible is that someone will hack up some sort of software that converts azw to prc, but that would technically be illegal to use.
I myself just had to choose between the Kindle and the Cybook, and I just ordered the Cybook, but it's certainly not an easy choice to make.