I own a Barnes and Noble nook and am a moderator for a message board that supports the nook so feel free to contact me via PM and I'll try and help as best I can. Here is what I can tell you so far regarding your question.
The Sony reader does read several file format types but cannot as yet read the B&N ebooks. That may change soon because Sony has converted over from their proprietary file format (BBeB or LRF) to epub on almost all of their ebooks available through their online store and B&N is working with Adobe Digital Editions to support reading and transfer of their ebooks to other devices.
The Amazon Kindle does not support Epub and without a major change in their marketing design they are not likely to. They support their proprietary format and PDF files.
The Nook supports Epub and PDF and PDB file formats. It does read ebooks purchased from Sony, Fictionwise, ereader.com and others as long as the file is in a supported format. If you do not buy from B&N and choose to buy from Sony for instance, then you have to use Adobe Digital Editions to load the ebook to approve the DRM on the Sony ebook. Once that is done you can use ADE to sideload the book into the Nook.
Other options to you is to use the software program Calibre (free btw) and convert any file format to be readable on the Nook as long as the file does not have DRM.
The Sony has some nice features too, like the touch eink screen and it also allows you to set up your books into collections. I believe in a future update the Nook will also have collection filing system but right now it does not.
The important thing to remember about the Nook is that it is a new technology and B&N will be improving the unit via software updates as time goes on. It works quite well right now out of the box with the latest firmware update installed but it has a few glitches that will hopefully be addressed in the next update expected in the next week or two.
Anyway, if you want more info just contact me and I'll try and help you out. I can tell you this I love the nook. I have researched ebook readers since the first Sony model came out and once I saw saw the potential for the Nook I was sold.
If this seems complicated trust me...it's not as bad as it sounds.