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For text heavy books I use a Sony PRS-300 eReader. The e-ink is much better for eye strain and the PRS-300 does a fairly good job with PDFs as well as EPUB formats. If I want to copy text I have whatever's on my Sony on the laptop I sync it from so can quickly open it up there but with the reader it's not taking up screen real estate and I can have a bunch of books on there. I can put my annotations on Evernote if I want to.

I also use iBooks on my iPhone and can sync my books to that too, it's nowhere near as good to read on but on a croweded train it's the best given the space available.

For particularly graphics heavy docs, or where colour is important I use my laptop and Foxit PDF or Calibre. This is my last choice.

My favourite by far is the Sony.

PRS-505 here. You don't find the 5" screen too small? For books with proper zoom text re-formatting, not an issue at all. But otherwise, I find myself complaining even with the larger screen.
The zoom on the 300's really good for epub, not so hot for PDF. I tend to find with PDFs that it's hit and miss as to the formatting, but PDFs that are effectively scanned images are pretty much off because of the size.

I find the screen size (roughly the size of a paperback) is fine for Epubs though, which is what I mainly use for tech books. I also like the fact that it fits in the pockets for my shorts. This summer I went to an Island in the mediterranean and went through about 10 books in 4 days on the thing. Carrying the 10 books would've meant less room for luggage. Being able to take 200-odd books to the beach is pretty awesome.

Depends on the format.

PDF on the desktop. Keeps formatting, and on Mac Preview is solid document viewer.

ePub on iPad/iPhone. Why not PDF on those devices? You can't annotate/highlight PDF's but you can to ePub.

That's what works for me. YMMV.

Go get GoodReader. It is a much better PDF reader than the built-in app on iOS devices, makes cropping out PDF whitespace easy, has support for annotation & highlighting, and can load PDFs straight off of Dropbox.
Does anybody have any experience using an ipad? It has a full pdf reader so that at least should work well.
Over the past few months the O'Reilly ebook deal of the day at $10 (although they seem to be testing the water for selling at over $10 at the moment unfortunately) has lead to quite a few acquisitions on my part. Additionally you can register your paper books and "upgrade" to an ebook for $5 on those. All this made a Kindle 3 logical as it brought a vast number of $10 ebooks into parity with their $30 to $40 paper cousins. My points of warning would be as follows - this is specific as the O'Reilly books are not DRMed. You get them in mobi, pdf, apk, daisy and epub. That said, the smaller Kindle I have is almost completely useless for PDFs, don't even think about it, not sure about the big Kindle though. I've had success converting webpages to .mobi plus all the public domain stuff in txt works just fine.

http://twitter.com/Oreillymedia has the deals but http://twitter.com/timoreilly retweets them and is vastly more interesting to follow.

Most PDFs are a little small on the DX, as well. It depends on the file, of course.

I have the 1st gen DX. The latest DX might be better, if it has the PDF contrast control that the kindle 3 has. The latest DX also has a better-contrast e-ink screen.

You can always turn the DX sideways, of course. Which solves the text size problem at the cost of having pages spread across three screenfulls.