amazon.coms kindle

I have a question for anyone who uses a kindle. Can I download books to my computer not using amazons purchasing service and then upload it to a kindle.

If so what is the best format to use for best reading.

And how does it compare to a purchased copy

The reason I ask is if I'm paying for a book I want a physical copy of it. fuck paying for a digital copy when I can get that for free.

I own a sony prs-505. I figure, it was $300 when I bought it, so if I read 60 books downloaded from the internet, (a paperback being about $5, so $5 x 60 = $300) everything I read on it after that is pure profit. In general, I don't have a problem finding books, especially if they're popular.
I convert them to sony's format and upload via usb. You can upload directly, or use software. There's sony's shitty program, which you can only use on windows, or Calibre, which is open source and works on multiple OSs. PDFs are not worth using on it.
I own an iphone, so I thought the slower internet connection provided by a kindle would've been a waste. Via the iphone, I can access amazon for the reviews of a book, and get it later.
Changing pages on the sony reader is slow, but you get used to the screen blanking out then changing.
I like the sleeker look of the PRS-505. Also looks a little more sturdy.