Many of those have DRM that is just as bad. I know the Sony readers have it from personal experience, and the Sony store sucks a heck of a lot more than Amazon. Of course, they all read a variety of free formats without DRM as well, as do all the readers I know about. The problem is not that the readers handle DRM, its that online stores are selling books in a variety of incompatible and restrictive formats. The Sony store sells books that are DRMed with a format only readable on the Sony e-book readers. The Amazon store only sells books readable on the Kindle. As an owner of the Sony e-book reader, I cannot buy e-books from Amazon. With a Kindle, I could not buy books from Sony. This fractures the market and turns e-books from "any book ever written (within reason)" to "any book your manufacturer bothered signing a contract with". This fractures the market and destroys much of the usefulness of an e-book reader. The sole reason I recommend the Kindle to people is because the Amazon store seems to have the best selection, I dislike some of the features of the actual reader itself (i.e. I don't see downloading books over a cell phone as a feature, since you have to pay for it with higher priced books and a short battery life if you forget to turn wireless off).
Of course, there are stores out there that sell books in a non-DRM format. Baen was one of the first publisher to do this and I have bought a lot of books from them. However, they are a small fraction of the books published today (3ish new books a month, all sci-fi or fantasy) and the same seems to hold true for the other stores I've found. Fictionwise seems to come up in conversation a lot, but only some of its books are DRM-free, and the 6 times so far I've gone looking for a specific book from them, they've had it only in DRM encumbered format. And since Sony doesn't want to release its DRM scheme, none of their DRM formats will work with my reader. I just added up my order history for Baen, and I've spent $936 on their e-books over the past 3 years. I'm more than willing to pay for books, but there are a lot of e-books out there where people simply refuse to take my money.
The alternative to all of this, of course, is to pirate books. This is generally a pain in the ass and can result in some poor quality books, but there is a lot more available this way than there is from legitimate non-DRMed books. I haven't found a specific site that works well for downloading books. Many of the major torrent sites have large collections of books available for download, but they can be pretty spotty and the quality is... variable. There will often be issues with the lines being too long for the reader, and wrapping in weird ways or with extra spaces between lines. There are some that are perfectly fine, but it is often a crap shoot. On the other hand, the first time I got frustrated with Fictonwise's DRM only books, I found a collection of sci-fi and fantasy that was 9 gigs. A good portion of that was scans of graphic novels, but you can fit a mind-blowing amount of text into even a small part of a 9 gig compressed file. Once I downloaded that, my first stop for new books is Baen, and the second stop is my hard drive. Its rare that I bother looking for anything else now. I still check for some new releases on various websites, but more often than not I'm disappointed in the results. I'm not going to pay $18 for a book that has been out in paperback for 6 months. And that was just the one book lately that _was_ available.
Though I may have got off track a bit, I think the real problem here is not that readers can handle DRM, its that online stores are fucked up. I could easily have spent an extra $1k on books if they were available in a format that works in my e-book reader. The fact that publishers won't allow those formats is the problem, not the fact that a specific reader has DRM for file format Y, but not Z. They're just asking everyone who doesn't have their specific e-book reader to pirate the books, instead of selling good quality versions for sale with reasonable fees and an easy to use system to download what you want when you want it.