Can you please recommend any E-Book Reader which can execute a third-party software, so that anybody can create software for such device?
Solution
Well there's two I know of:
The OpenInkPot Linux distribution for e-reader devices, which works on a few e-ink readers (and should be ported to more as time goes on). You shouldn't have much trouble writing third party software for that;
The iRex DR1000. Take a look at this forum thread where someone has created a VMware image for doing development targetted at this e-reader.