If you buy a track on your phone it'll download to iTunes, but I think you can actually do that now without iCloud.
Contacts, bookmarks, and Mail are handled the same way as MobileMe. You sign into iCloud in System Prefs and check boxes for Mail & Notes, Contacts, Calenders, Bookmarks, Photostream, Back to my Mac, Find my Mac. You do the same on your phone (with some diferences) and you're good to go.