I've been in a similar situation. The proprietary aspect makes the mainstream options like the kindle and ipad kind of a non-starter for me for all types of e-material. I read books and subscribe to a few magazines and periodicals that are delivered in PDF format too - some of which I need to read for work - so I need something that can handle multiple formats well.
FWIW the option that I went with was one of the devices from Boox (the note pro) that offer access to (for instance) google's play store but still allow you to load your own material from whatever source. It has a large (magazine-sized) e-ink display, supports several formats, and is great for reading, taking notes, and for marking up things like those PDF periodicals. My only complaints with the boox are that it is older so the CPU is slow when it comes to drawing and note-taking and the display is monochrome.
I do far prefer the e-ink displays in the kindle and my boox over the transistor-based active-matrix (LED/OLED/TFT) displays. They don't do video but they're much more readable in sunlight and greatly improve a device's battery life. For me personally I also get headaches when reading a lot of textual material on an active-matrix display like an ipad or a desktop. So much so that I actually cut back on my reading volume. Something in the subliminal flicker caused by the refresh or some sort of eye strain caused by that sort of display I guess. But the paper-like e-ink displays don't seem to give me the same problem. I can read stuff on those displays all day and my reading volume has increased again now that I don't have to worry about it. (Subject to time constraints too, but that's another story.)
Finding non-proprietary material is still sometimes a challenge. A lot of these devices are expensive too, as you mention. I've been considering upgrading to the Note Air 5 C, which is basically the same as what I have but has an upgraded CPU and a 10-inch Kaleido (color) display. But it's over $500! The only reason I'm considering it is that I've had the old unit for several years now and I can sort of justify spending $500 every 4 or 5 years on a device like this that I know I'll actually use a lot.