Kindles are the defacto leader, though much like iStuff they're not necessarily the best made. I hear the Nooks have higher build quality, but regardless of what you get you're going to be tied into something somewhere (unless you root). But the Amazon store is by far the larger market, and as others have opined you can use Calibre to flawlessly convert the ePubs you can get elsewhere, and it's worth getting a Kindle just for the utter amazingness of Amazon Support, to be honest, you can stamp on it and pour vinegar into the jagged shards of the screen and they'll still send you a new one, for free, and collect the old one, paying for the courier themselves.|
Kobos are not brilliant from what I've heard though, dodgy contrast and slow page turning. Though you'd only really notice them if you have two different readers side-by-side, so really just go for whatever's cheapest (or has the features you want) out of Kindle, Nook or Kobo. Anything else is not really worth bothering with.