Do I have to buy eBooks on the nookColor through B&N?

No. The easiest way to get books is through the B&N store but you can also load other books on your nook. You can move files from your computer to your nook using a USB connection. The supported file types are ePub, PDB, MP3s, PDFs, and image files.  Once you plug-in the nookColor to your computer you'll see the contents appear in Windows Explorer or Apple Finder. The nookColor already has directories on it for this, put your files in the right directory.

By embracing the ePub standard any non-DRM (copy protected) book can be loaded on the nookColor. Since B&N picked Adobe for their DRM support other places that sell - or rent - ePub books with that copy protection should also work on the nook.

Kobo eBooks, Overdrive library, and Sony books have been tested on the nookColor.

To make buying books easier, and to get eBooks as a gift I'd suggest the an eBook B&N Giftcard! :)