The most widely used format that is not supported on the Kindle is the EPUB open source format, used by many other e-readers such as the Nook from Barnes and Noble. Amazon may eventually add EPUB compatibility to the Kindle; in the meantime, free programs such as Calibre can be used to convert e-books from EPUB to AZW format. Other formats such as LIT (MS Reader) and LRF (a Sony format) can be converted this way as well. The success of these conversions can be hit and miss but they are options available to Kindle users.
.mobi formats will also work.
I use an Aluratek which •Supports PDF (Adobe Digital Edition DRM/non-DRM), TXT, FB2, EPUB (Adobe Digital Edition DRM/non-DRM), MOBI (non-DRM only), PRC (non-DRM only)and RTF electronic book format.
I use epub or pdf and have a program that will convert to any format, it is called AVS Document converter but it does cost to buy it.