Welcome to the good side. Glad to have you aboard
Once you get going, I think you'll find it was the best gaming decision you made.
The big negative is that it isn't usually as simple as buying a random pc, installing some games, and away you go. There are some things pc gamers have to deal with that console gamers don't.
- Configuring a gaming pc requires some technical knowledge about what components to buy to maximize your gaming performance (frames per second) for your given budget.
- There are drivers to keep updated to assure you're getting the best possible performance out of your games.
- There are issues that will inevitably arise that cause decreased performance or game crashes, which will require some troubleshooting to resolve.
- There seems to be an increasing trend of games being released in a buggy state on the pc which requires waiting for patches from the developer. This happens because devs are trying to hit their deadlines, and rather than push the deadline, they figure they'll launch with some bugs and patch it after release since it is easy to do this on the pc.
- Higher upfront costs. Price of entry is probably around $500 to have a shot at playing most games, although it will be on medium / lower graphical settings for the newer games. Getting a gaming PC capable of playing the most recent demanding games at max settings is probably around $1500+. (although games are significantly cheaper, especially with the steep sales that are offered through digital distribution channels - e.g. Steam)
- If you go with a high end pc, you'll need to become familar with system temperatures and cooling to get the best performance while assuring long component life (this becomes even more of a factor for those who decide to overclock their components - something some of the more advanced pc gamers do to squeeze some extra performance out of their games).
Not trying to scare you away. Just trying to give you an idea of what to expect. Some newcomers experience some of the above issues and get pretty frustrated with the whole process because they didn't have to deal with those issues on the consoles. Despite some of the drawbacks above, it is all worth it. I was playing BF3 on my brother's Xbox last week. It looked absolutely TERRIBLE compared to running on max settings at resolutions nearly triple than what the consoles are capable of (2560 x 1600). Not to mention the terrible controls of dual analog sticks vs. the precise controls of a keyboard and mouse. In addition, there is soooo much more flexibility on the pc with user generated content that both enhances and adds new content to many games. Just google skyrim mods and you'll see what I mean.
As to your specific questions, Steam is a great service. It is the most popular digital download content distributors out there. There are others though. I prefer to download all my games rather than buy boxed copies due to the ease of doing so, and the fact that your games are automatically updated with any patches that come out. Digital downlaods have become extremely convenient.
You're doing the right thing by asking for feedback in some technical forums. Continue to educate yourself and you'll find that you'll never want to go back to console gaming again.