My mac is due to arrive on Friday! Do most people have a copy of windows setup on their Macs using bootcamp? This seems to be regularly talked about and wondering if it's essential? Just how many programs out there can't be installed on the Mac? I would have thought most programs now offer an option to be installed on both Windows and OS X.
You're going to have to be a lot more specific about the software you are going to use on your Mac. A lot of commonly used applications have Mac-specific versions or equivalents that perform similar functions. For example, Adobe Reader is available for both platforms for free. Microsoft Office is as well, but unless you have an Office 365 subscription, you would need to pay for a new license. However, alternatives for Office exist that are either free (Open Office) or much less expensive (NeoOffice, Pages, etc).
Of course, it's going to seem like a lot of folks have Windows installed on their Mac, but I will just about guarantee you that we are a very small subset of the overall Apple user base. My primary reason for having Windows is to play games since most titles do not receive OS X versions. My Steam library consists of more than 180 games; roughly 1/3 of them are compatible with OS X.
There is a third option aside from Boot Camp and using OS X-native alternatives to programs, and that is virtualization. Programs such as Parallels, VMWare Fusion, and VirtualBox allow you to run Windows from within OS X without the need to reboot. Virtualization comes at a slight performance penalty, so it's not the best way to play recent games. But for games that are 3-5 years old and older, it can work OK. Further, these programs can be helpful if you own a Windows-only version of Microsoft Office because you wouldn't need to buy a new license or Office 365.
Again, the need for Boot Camp depends specifically on the specific software you use on a day-to-day basis.
If it is recommended to have windows installed, do I have to purchase another license from Windows or can my current key from my laptop work?
Now there is no wiggle room here - you will need to purchase a new license for Windows to use on your Mac. If it is a model with a Retina display, Windows 8.1 will give you a better experience as it is better equipped to handle ultra-high-resolution screens. You can install a third-party application (I recommend StartIsBack even though it's not free) to boot directly to your desktop and make the start menu look like that of Windows 7.