The New York Times: Stanza: “The iPhone or iPod Touch can act as an electronic book reader.”
Tip of the Week: Turn Your iPhone Into an e-Book

I tried to read a PDF, and nothing shows up at all

Some PDFs do not actually contain any text that is readably by a computer, but instead contain a series of pictures of text. You can test to see if this is the case by opening the PDF in a PDF viewer (like Preview.app or Adobe Acrobat), and trying to select the text with the selection tool. If you are unable to highlight any individual letters in the text, then the document is simply a collection of images, and will be unreadable by Stanza.