The kindle supports a few formats of Ebooks.
It's "standard" format is AZW files and these are only availble from amazon.
It can also read Mobipocket books (MOBI, PRC), plain text files (TXT), Topaz format books (TPZ) (and PDF files on later ones)
So you can buy books from anywhere in the above formats and they will work on the kindle (though you'd have to manually transfer the books to the device.)