AZW is essentially the same thing as mobi with a couple of byte changes as I recall. Amazon has owned mobipocket since 2005 and they could have just used the mobi format on the Kindle unmodified. Guess they didn't want to make their books compatible with other mobipocket clients out there (even though DRM would have prevented that from happening on at least the free clients). While it's a free format, ePub is both free and open.

I think we're still some time away from seeing how all these formats shake out, including an agreement on a single format. Along with reader pricing, this (portability and future-proofing) is one of the big stumbling blocks to wide acceptance of digital books, IMO.

BTW, do the latest Nook updates make it as quick as the Kindle 2?