I've tried LOADS of readers. What I dislike about most is the fact that they don't give you a lot of control over typography. I want to be able to choose from a wide variety of good screen fonts. I want to be able to set their size using a slider. I also want slider control over leading, margins, paragraph spacing and indents, and if you offer me choice of text and background colours, I won't say no.
I also could do with integration with Calibre over wi-fi and good sorting options for my library, though I can do without if necessary.
Kindle hardly lets you do anything: you get a choice of three different colour schemes and five different font sizes. You can't even change the font. iBooks gives you a choice of fonts, half of which are useless, a few font sizes, and a welter of pointless faux-book animation. It looks nicer than Kindle, so if forced to it I'll choose iBooks.
Kobo - I can't remember but I think not much better than Kindle. Bluefire gives you no font options except size, a bit of margin control, and not a lot else.
In the end it comes down for me to two apps: Stanza and Megareader. They have all the features on my wish list and a few more besides. Unfortunately, you won't be able to read your Kindle or iBooks purchases in them.
Stanza was purchased by Amazon a while back, and they essentially stopped development of it. When iOS 5 came out, it broke Stanza, and for a long while there wasn't an update available. The most recent versions of Megareader were an effort to replicate Stanza's features for a loyal audience - like me - who had come to rely on it.
Stanza, belatedly and with little fanfare, was fixed, and now plays nicely with iOS 5, so I'm using that for the time being. I tend to buy books from iBooks, crack the DRM off them and import them into Stanza, because I'm very pernickety about efficient usage of the limited screen area on my phone and I really don't get on with iBooks' liberal attitude towards white space.