You can use the Kindle to read certain formats, but the Kindle ebook format is proprietary. You wouldn’t be able to purchase books from other retailers and download them to the device. You would either have to hack the Kindle OS and change the “cloud” pointer or download the ebook in another format to your workstation and copy it via the USB cable.f
This saddens me too. I’ve been using Overstock for miscellany and specific retailers for other purchases (i.e. computers and electronics from NewEgg).
You can download Calibre and convert books from one format to another in seconds. Some convert well, like MOBI <--> EPUB (Amazon and Barnes/Noble either direction). Others don't convert very well, like PDF to MOBI.
I use Froogle a lot when shopping, it will give you some alternatives to Amazon. But you do have to watch the ratings and make sure you’re dealing with someone trustworthy.
And Nextag for some things.
what other formats will a Kindle read?
You can buy ebooks from books a million in kindle (mobi) format I’m fairly certain.