Import books from Amazon
In addition to mbilsker's suggested link you can also try this:
I've also seen people have some success with epubor ultimate software. (I think there's a free trial as well so you can see how it works for you).
If you are using them simply for private use, and not sharing them, you can remove the DRM for that purpose and you will not be breaking copyright. You can do it using Calibre and a de-DRM plugin. However it has to be an older version of Calibre (version 5 maybe) as some newer ones didn't work. Some nice people explained the process to me on an earlier thread. You can search for that, but I will also post a link to a guide here. But it was still somewhat complicated for me. I used version 5 (and old version) of Calibre and it worked.
Newer versions of Calibre require noDRM since deDRM is no longer being developed.
Sorry but copyrighted books that are under protection, can't be imported.