I have found that WHSmiths ebook store in the UK at
http://ebooks.whsmith.co.uk is a much better store then Waterstones one and at the moment is offering 50% off all ebooks.
Buy Epub instead of PDF where possible as it read better on the Sony reader
This makes them very cheap at present. Once the sale finishes buy your ebooks from fictionwise or booksonboard.
Enjoy your new reader