The easiest way to start reading e-books is to try it on free software on your computer before you go out and get a device. This gives you a chance to learn which software you like best, how you like to see your books, and what features are required for the type of reading you do. So I'm listing the ones I've tried and providing a link to the download page. They're all free.
Mobipocket Reader -- Reads mobipocket books only either encrypted or DRM free, easy to set up, also creator program available for converting your books.
Barnes and Noble eReader Software -- available for your PC, Blackberry, iPod Touch/iPhone, or MAC
Adobe Digital Editions - Reads pdf and epub files.
FB Reader - If you need a reader for a Linux/Windows and Sart Q devices. As far as I know this is the only e-reader to run on Linux
Kindle for PC -- The cool thing about the Kindle store is that there are always new, excellent books availabe for free. There seem to be new ones every week. If you run Kinde software you can download great selections to add to your e-libray.
Microsoft Reader -- This is the reader I started with and if you're trying to read on Windows Mobile it might be the easiest to get to work.