For me it works with Overdrive -- I have it set up to automatically connect to my library account, and I can either check books out directly on the Kobo by browsing Overdrive, or check them out on the library website and then my Kobo will (theoretically) automatically download them when it's connected to WiFi. It works perfectly about 85% of the time!

...and then sometimes it will just refuse to download a book for unknown reasons and I'll have to load it up the old-fashioned way, by downloading the book from the library on my computer and transferring it to Kobo over USB. But mostly not.