What I've found out, in a nutshell:
Kyobo and Yes24 have ePub and PDF format books available, but they use a Korean DRM (digital rights management) that only works with certain devices.
Book2 and Nuut use Adobe DRM, which will work with many ereaders.
I believe the Nook can display Korean if you add a Korean font. They might work on the Sony ereader as well.
ePub books can be converted to read on a Kindle, but it involves stripping the DRM, which is illegal, so we won't talk about that. The Korean font on the Kindle 3 is really horrible, and as of now there's no font hack available. There is a font hack for the Kindle 2, so it might be possible to add a Korean font.
You can read books from any of these stores on your computer. (If, you know, you don't mind reading off a computer screen.) Kyobo and Yes24 both have their own viewers that you have to install. I wasn't able to test for Mac compatibility.
ePub book (with Adobe DRM) in Calibre viewer.
I liked the layout of Yes24 best, as far as actually finding things, but wasn't able to buy a book from them since their credit card verifier-thingy seems to be rather limited. Kyobo seems to have the most selection (and I'm a fan of Kyobo in general, having been in their stores many times). If I were really serious about Korean ebook reading I'd have to buy a reader that would work with the Korean DRM. The other stores just don't have as much available.