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 read a LOT of PDFs (technical documents) on my Kindle Gen2. Never tried to convert anything. Most of the books I read are out-of-copyright classical works that I get from Google or my local library.