TeleRead has a great post on The ABCs of e-book format conversion: Easy Calibre tips for the Kindle, Sony and Nook. It's written by one of the developers of Calibre, a program for managing ebook collections, and as such touts Calibre as pretty much the perfect tool for handling your conversion needs. What's really nice is the concise summary of the different formats, and a discussion of DRM and ebooks.
Over the holidays I decided I'm now going to be e-reading exclusively on Stanza for the iPhone, which seems to support pretty much all the e-formats. I'll probably take a look at Calibre as a tool for keeping all my e-books in one place though. As an aside, I got to take my first look at a Kindle over the holidays. I didn't actually read anything on it, but did poke around with the interface for a bit. Bleah. Personally I haven't had any issues reading on the iPhone for hours at a time. Maybe it'd be even easier on the eyes on the Kindle, but I found the interface very unintuitive. I didn't like the flash as the e-ink turned pages either. No Kindle for me!