First of all, let’s look at what file formats the different vendors expect, and what they offer:

Biggest Stores

Kindle (Amazon)

Submit through their KDP site.

While they recommend .doc or .prc formats (they publish in .prc), Amazon lets you upload in ePub, .txt, .moby, htm, html, .pdf or .rtf.
See more guidelines:  and a simple formatting guide.

50mb size limitation.

Offer KDP Select. Your book is made available in their lending program (with royalties paid for each time it’s lent), as long as it’s exclusive to Amazon for at least 90 days.

Royalties are variable. One can choose a 70% royalty scheme, where they can lower the price of your book and affect the royalties, or a 35% model, where you always get that amount of your listed price, no matter what they sell it for. Caveats apply.

They pay out through electronic transfers or checks.

Nook (Barnes and Noble)

Pubit is the webpage they use to allow people to self-publish.

They use the ePub format but they will convert automatically from Word (.doc and docx), HTML, RTF and TXT and have a 20mb size limitation.
After uploading you can use their emulator to see what it will look like on an actual Nook.

“Note: PubIt! is currently for U.S. publishers. PubIt! requires a U.S. Bank Account, U.S. Credit Card, and a U.S. Tax ID that are all tied to a U.S. address.”

Nook Royalties:

• Books with a List Price below $2.98 or above $10.00 will receive 40% of the List Price in royalties (i.e. A book with a List Price of $20.00 will earn $8.00 for every sale.)
• Books priced between $2.99 and $9.99 (the “sweet spot”) will receive 65% of List Price in royalties (i.e. a book with a List Price of $9.99 will earn $6.49 for every sale.)

Kobo (Chapters/Indigo)

Kobo does not have an automatic process to submit eBooks when this is written, but they do offer a manual process: http://www.kobobooks.com/companyinfo/authorsnpublishers.html

Use the ePub format, and at the moment seem to only accept books in that format.

iBooks (Apple)

Apple requires that you use their tools to format and upload the books, but it is possible to convert from Word documents or ePub.
You will need to have a Mac to use their delivery tool, though there seems to be a manual way around it. (unconfirmed)

Google

Accepts both .pdf and .ePub.

Instructions on how to submit books to google. 

They reserve the right to change the retail price of the book, but will pay your royalties according to the list price you give them.

Get paid by check or electronic funds transfer.

Tools

Sigil is Open-Source Software that contains a wysiwyg editor to let you write directly in the ePub format, rather than write in Word and then have to convert your format.

Calibre is a tool that lets you convert and preview ebook formats on your own machine. Also a library management tool and allows you to sync files directly to readers :

Create well-formatted .moby files with MobyPocketCreator

Alternatively, you can use services that take care of the legwork for you:  Smashwords or FastPencil. In fact, there are services such as the Sony store and the Diesel store, which will not accept self-publishing unless it’s through Smashwords.

Other sellers: eJunkie, clickbank

In Summary

Everyone supports ePub by now. This should be your primary format to work in, or at least export to.

If you don’t want to do the legwork of submitting to all the different sites, look into using services like Smashwords or FastPencil.

It’s important to note that while you can sell .pdf files and other content directly from your website, you can’t sell ebooks directly onto readers or apps without using the related publishing services. I.e. if you want deliver directly to the Kindle, you have to go through Amazon. If you want to sell an ibook, you have to go through Apple.