1. Yes, I run it direct to a cable modem.
2. Yes, works well with Tiger, Leopard, and there is a Windows version of the AE utility.
3. No. Pick N or G, can't have both.
4. Well, before, my Airport Express was downstairs and I could not get good reception to my room with N enabled. Switching it to G increased the range. Don't expect it to stretch for an awesome distance.
Another note too, unplug your cable modem for about a minute before you attempt to install the Airport Express, this will save you a lot of headaches in trying to get it set up.