.epub ebook files work great with ereaders and reading apps like iBooks on computers and mobile devices.
.pdf is a standard file type that works on pretty much all devices including computers and within mobile apps, but it's just not as pretty... :/
.mobi is for Kindle devices and apps ONLY. Use this guide to load .mobi files to your Kindle ereader or app.
.m4b is the audiobook file type. It's a single file with content built in, like chapter breaks and cover art. It works with many audio players such as iTunes.
...but if you prefer, the audiobook is also available packaged in a ZIP file. It works like a CD album with multiple tracks. You download the file, open it to view the files, and then each audiobook chapter is a separate .mp3 (common audio format) that you can open in an audio player and listen to like any music file.