[UPDATE: See http://forum.xda-developers.com/showthread.php?t=795753 for the Windows Phone 7 version of this program.]
I've written a program for reading eBooks on Windows Mobile devices. It can read txt, html and (DRM-free) ePub files.
For other formats you can use Calibre to convert them epub.
The program is called 'Freda' - short for 'free reader', since it is free software (both in the sense of 'free beer', as I am not charging for it, and in the sense of 'free speech', as I am licensing my code under the GPL).
It's released now, so please download it and let me have any feeback. (BTW that link points to the WinMo version of Freda; for the Windows Phone 7 version, please go here)
The program uses three third-party libraries, DotNetZipLib, OpenNetCF and the Majestic-12 HTMLParser library; all are licensed on terms permitting their redistribution for commercial and non-commercial purposes. More information is here