[jjice]

You can send epubs and other formats via the Kindle web service to your Kindle directly. It handles the conversion. I understand if you feel uneasy with this though, as I do as well sometimes.

As others have said, Kobos support many formats (including epub) out of the box via a USB cable. Kobo has some color ereaders coming out the end of this month as well, if that's something that appeals to you. My brief experience with color eink displays is very positive, and I'm considering purchasing one as well, despite owning a Kindle already.