I just bought my first song through the Online store from my Touch and when dock it to my Mac, I don't see it in iTunes. Is it also possible to transfer the song from the Touch to the Mac?
You can't share DRM-protected files downloaded from the Zune Marketplace either (without also sharing your password). All you can do is send it from one Zune device to another for 3 plays, which is only useful if you are nearby someone else who also has a Zune.
DRM-free tracks (from either iTunes Store or Zune Marketplace) you could share all you want, but (a) it's illegal; and (b) your account info is probably embedded, so the file could be traced back to you.