I'm waiting for mine to be delivered, so anything I can say is based very much on personal research. I've gone for the Kindle because it's a tad cheaper than most of the others, has more storage and (the £149 version) means I can download wherever I am - I don't need to download to my PC first. The Kindle 3G is the only one that lets you do this at the moment.
The downside will be, as I think I've said elsewhere, that the main library suppliers of ebooks seem to be going with the Sony/epub format which means that I won't be able to take advantage when my employers start to do ebook loans later this year.
As modeller suggested, I've downloaded the software to my laptop to try it out, and have downloaded a couple of free books to it. Those books will be available on the Kindle when it arrives, as one download can cover several devices. There's also a software version for Android and iPhone but - dammit! - not one for my Windows phone.
Re lights - there is a cover available with an integral light but, as with paperback books, I have a small clip-on booklight that I got from my book club for a couple of quid.
You can actually get Kindles from John Lewis, but when I went into the Leicester branch just before Xmas they told me they wouldn't have them until January.