I don't believe you can with the Kindle which is why the function of "loaning" a book is so big on the Nook. Also remember all of the books you buy off Amazon for the Kindle can ONLY be read on a Kindle as they use a propriety file format. The Nook also has a larger number of books available off the BN site and can read more formats as well. The wider range of file formats read allows you to download from alternate sources and still read the books on your Ereader. BN has a free reader available for the iPhone, Blackberry and PC, so those you loan to don't have to have a Nook. Kindle only has the iPhone app I believe and are working on the others.
BN also has more less expensive older books and quite a few free books available.
The other options are basically pointless to look at, less file format compatibility less built in memory and slow. The new Kindle and Nook are the first of the new generation of readers and the Nook really is the most advanced of the two. Expect there to be quite a few leaps with the Ereaders over the next year or two, including faster processors and color screens as you start have magazines getting in on the action have electronic subscription geared to these readers but wanting to still be in color.
If I was to choose one right now, it would be the Nook for many reasons listed above. I am planning on getting one for my father for Christmas. I might wait to buy one for myself until the next gens are out and continue using my Storm and netbook.