While a lot of your questions have been answered, I'd like to focus on just a few things to help out a newbie. For the record, it's been less than a year since really becoming a PC gamer (though I've always played to a certain degree all my life), so I remember the pains of learning about PC gaming.
The biggest thing for me was getting used to the controls. To do this day, I still WASD sucks- I can't believe PC gamers don't demand better. When most people complain about using kb/mouse, I don't think anyone is worried about the mouse- very quickly you'll realize how superior it is in FPS. But God WASD sucks. I'd suggest that you stil try, but if you're willing to drop a few bucks, I can highly recommend a Belkin Nostromo n52 Speedpad. It has 16 keys, a mouse wheel (that really sucks), and a d-pad. I now remap all of my games to allow me to use the d-pad to move. Just using those other keys for specific actions such as jumping don't make my hand cramp up like WASD did, since you're not holding them down the entire time. There's still a bit of a learning curve that comes with it, but if you've been playing with controllers your whole life, it's not that hard. After getting super comfortable with this setup, I tried to play Far Cry 2 on the 360...how did I ever aim using dual analog?!
I'd also recommend a mouse with at least 5 buttons and a scroll wheel. It doesn't have to be "gamer-grade" or anything, but some PC games will want to use a lot keys, so having a few extra on the mouse is a great idea.
And as far as transition games go, I do suggest The Orange Box. The only game I haven't played really is Team Fortress 2 (I live in China, so basically nobody plays this game), but the rest of them have fairly simple control schemes. Some games will overload you with commands, which makes you work to learn all of the keys as well as learning how to just use keyboard/mouse. None of the Orange Box games will overload you with that kind of stuff- they all fit comfortably in my setup. Also, Battlefield 2 is pretty good about this as well, and is hugely popular.
The last thing I'll touch on is Steam/D2D. Your factual questions have been answered (such as re-downloading), but I would highly advise you NOT to purchase new games from these sources. I'm talking about a game that's just hitting gamers' hands. The reason is, if you buy through them, you have absolutely no resale value and you paid pretty much the exact same price. Heck, usually a store will have some kind of sale on the first day so you can actually get the boxed version cheaper. If you buy the boxed copy and don't like the game, there's opportunity to sell it on ebay to get some of your money back.
However, as games get older, they also get pushed off the shelf. If you're interested in a $20 game that's a few years old, then I don't think you'll go wrong by buying them digitally. I mean, if you find a game on sale for $10, you can afford to be wrong and not like it (not saying you wouldn't like your $10 back instead, but you get the point). I think Steam's ok, but I hate running the client just to play my games. But I can totally support a purchase from Good Old Games- download one DRM-less exe file. No activation and unlimited downloads.
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