I have over 100 CDs that I have downloaded onto my itunes. I have also loaded songs from Amazon and Apple. I have also loaded movies, TV shows, etc. I have also been able to easily share these among all my computers. When I received my iPad, it was easy to plug it into a USB port on my laptop, sign into my itunes account, and then allow it to download those programs I wanted. You can load apps onto your base computer and then when you got the iPad, they will also download. Once the iPad is initialized, you have the option of downloading apps, songs, books, etc. directly onto the iPad from the internet, or by syncing with your base computer.
If you start playing a song, you can do anything else you want. The iPad may go into sleep mode, but will still play. It will not stop until you hit stop on the iPod app, or until you do a shutdown.