The DualHead2Go has been troublesome since the git-go, and they've had several years now to get it right. They still haven't. I just bought one and it's going back.
If you need more than 2 screens (built-in and external) get a cheap USB video adapter that uses DisplayLink (most of them do). It's not ideal, but it works. You won't be playing 3D games on the USB external.
With the external connection or the USB solution, each screen is independent. You can move programs between screens. But you pick one to contain the menu bar and dock. There are third-party accessory programs that can be helpful. I use SecondBar to put a menu bar on my second screen. There's another application (forget the name) that will put a menubar on top of each application window. But I don't think it works with Lion.
Moom is another useful utility for multiple screens. It provides a pop-out menu for the "green button" on windows that allows you to select pre-set window positions, move between screens, etc.
I have a late 2008 Aluminum Unibody 13" Macbook. I use it with the clamshell closed, with one 1600x1200 monitor on the external connector, and one 1600x1200 monitor on a Diamond USB adapter.
The DualHead makes one big desktop (for example, 3200x1200). The external connector spits it out in that format, and the Matrox box "splits" the image to two monitors. As far as OSX is concerned, it's one big desktop, and that creates some problems. (Like windows popping-up split between screens). WindowCatcher is a useful utility for dealing with that.
