I love my iPod, over 7000 songs on it. Any music you buy from iTunes you can burn to a cd, I don't know about the movies and such, I assume you would be able to burn them to a DVD because you are purchasing them. I have the older version photo iPod so I don't have experience with the video side of things. I did buy my woman a video iPod last xxxmas and she says watching videos runs the battery down much quicker than just listening to music.
I know you can get games now from iTunes for the newer iPods, stuff like Bejeweled and Zuma.