Hi Martin
I have the same problem as you, as I live in Australia. I use a number of online booksites. These are:
www.fictionwise.com - this is a great site. You don't have to be a member, but if you do join you get lots of freebies and discounts.
www.booksonboard.com - slightly more expensive but not bad either.
www.ebookwise.com is another that is slightly more expensive.
And another one -
www.ebooks.com
However, be aware that some of the book sellers may not sell the .lrf format that you want. I also buy the .lit books and convert them for the sony reader but entirely up to you.
Hope this helps