The three mainstream 6" ebook readers in the US, are the PRS-505, Kindle and Cybook. Only the Cybook will read DRMed ebooks from multiple sources (MOBI), although some DRMed MOBIs are usable on the Kindle. None will read eReader ebooks, although the Astak Mentor series of devices will be available this summer from FictionWise supporting this format (see
Astak's recent post).
My experience is that Kindle ebooks are often cheaper than other ebook sellers, although FictionWise (for example) has ways to make ebooks less expensive if you buy from them routinely.
For Baen ebooks, I think you can now download any that you bought from them or from the free library formated for the PRS-505. This isn't the case for free Baen CD's though. So far as I know, all Baen ebooks are available in .prc format or in the new .mobi format (better cover page and TOC) - both of which will work on the Kindle and the Cybook.