I came across a nice summary of which formats each online bookstore uses and what each eReader can use:
http://www.digitalhome.ca/forum/showthread.php?t=130591
I guess the Sony and Kobo can't read Barnes & Noble books (at least without breaking the DRM) even though they are ePub, because they use a unique DRM that only works with the Nook.
All these proprietary formats that can only be read on 1 device are annoying.