A great device fitting your stated "must haves" is this little-known device called the Amazon "Kindle" (without Amazon books).
Between the available devices, they have e-paper displays that are comprable to other devices on the market, so you should be able to find what you want there. They can't lock you from the device or delete books you've loaded onto it yourself. It can read DRM-free books in MOBI format, and there are open-source programs available that can convert from any other format you'd like.
On the other hand: there is alternative firmware available, but I've never used it and can't attest to it's quality. And, unfortunately, the majority of the books Amazon sells are DRMed (AFAIK the decision is left up to the publisher but they almost always opt in), so that's not fantastic.