I haven't used any E-Readers apart from the Kindle 3 I bought a couple week ago, but I love it. The text is pretty much the same as reading a book. Much better for reading than iPhone/iPad.
Unfortunately it appears they have to region lock some books on Amazon (Feast for Crows is one I've come across), no doubt due to retailers. It is possible to simply change your region to America, however if you download a book in Australia over 3G while your region is set to US you might get hit with roaming charges or something. Haven't tried it though so I'm not entirely sure, this is just what I found from a quick Google. Should be fine if you buy over wifi/PC.
Fortunately, you can convert any DRM free books to Kindle format using Calibre. Pretty simple to do and takes just a minute, so you can still buy e-books from other sites if you choose. Bit more of a hassle than simply buying on the Kindle, but the option is there.
I ordered one of these awesome cases:
http://www.oberondesign.com/Kindle3.php Slightly pricey though.