Lot of questions
I've not used gp2x for ebooks, but I do a lot of eboks in other platforms, so I can help a bit.
On the gp2x side, the built in 'book reader' if anything is a text file reader onmly, I think. (ie: .txt, plain text, with no pretty stuff.) Not great, but workable. There are likely other options. If I recall, there is a PDF reader.
Anyway, ebooks tend to come in many formats, most of which suck. The good ones are the open formats, such as .txt (plain), .rtf (includes bolds and such), .htm/.html (essentially saved webpages, can be good), and even PDF (.pdf) which can be fully featured. Then there are the 'DRM' (paid for, locked down) formats such as peanut, sony, you name it. These are generally only readable on specific supported platforms and thus not the gp2x. The only real useful thing to do with these guys (even if you own the actual reader on supported platforms) is to convert away from DRM bullshit formats into useful flexible formats (like rtf or pdf, etc.)
There are tools (free and shareware) for that, usually.
Anyway, you can also make your own ebooks .. Office (or OpenOffice, or Wordpad, etc) can be used to convert .txt into others, though .txt is pretty fine. But if you find a PDF reader that doesn't accept .txt say, then it is easy to convert to .pdf using OpenOffice Export or Save As, for instance.
So the hard things in ebooks are..
1) Buying them -- means they're in DRM format, if you can find the books you want at all; once in a blue moon they'll sell you an open format, but not likely. So assume if you buy a book, you have to convert it to an easy to use format.
2) Making them -- given a txt file or open format, you can convert them to any other open format, which usually gives you an option
3) Converting them -- figure out what you've got, what you need, and how to go from one to the other
Its not so bad once you figure it all out.
jeff