There are some new e readers which do both ePub and PDF. A quick search turned up a few like the Nook GlowLight+, and a couple Kobos. Amazon's offerings don't do native ePub, but they (and others) make it trivial to email or upload an ePub and convert it to mobi and deliver to your device.
I can relate with the sentiment on paper books though. It's quite great being able to quickly flip back and forth to several places, or place notes throughout. I've had luck with the highlighting feature on my Kindle, which gives a decent interface for going back and looking at all the things I've highlighted; I've developed the habit of highlighting all the important parts in a book and going back and re-reading just the highlighted bits, which has helped tremendously. Unfortunately, highlighting across pages is rather aggravating.
I can relate with the sentiment on paper books though. It's quite great being able to quickly flip back and forth to several places, or place notes throughout. I've had luck with the highlighting feature on my Kindle, which gives a decent interface for going back and looking at all the things I've highlighted; I've developed the habit of highlighting all the important parts in a book and going back and re-reading just the highlighted bits, which has helped tremendously. Unfortunately, highlighting across pages is rather aggravating.