Amazon sells E-books in its own proprietary format, not the standard EPUB format used by most other stores (e.g. Apple’s iBooks store or Kobo).
Why does that affect me?
To my knowledge, EPUB files sold by other stores are supported by a much more wide range of devices and software, including Amazon’s own Kindle Previewer that according to Amazon allows a conversion for the Kindle. Make of that information what you will!
Disclaimer: this is based on my personal experience as a reader, and I put this here as a piece of advice to other fellow readers. However, I’m not an infallible e-book expert — let me know if something here is wrong.