Well let's see I had the 1020 and the 1520 both which were good phones.
You are going to be amazed at everything the phone can do, as well as Android in general, however at the same time you most likely will be a little intimidated or bewildered by the sheer number of choices allowed.
You won't find a resuming screen as what happens on WP, nor will you have live tiles as you now have, but you can set up your Note to look almost exactly the same way if you prefer with some of the various launchers. I use Nova Prime.
Most of your integrated core apps are here, however most all have something different and some even run better. Cortana is here, but needs a lot of work yet to be even close to what you have now, and is a bit of a battery hog, but will get better at some point, that's just Microsofts way of doing this as you already know.
Everyone has a favorite way of setting up their phones, and many myself included choose a different launcher because of being able to do more than what Touch Wiz offers, and for many folks TW is fine and never switch to something different. I suggest that you settle in with it, and learn how to actually use your phone before changing a lot of things, this way you can find out what you like and dislike or are having trouble with.
Themes... There are scads of them to choose from and being able to try them out is pretty frigging awesome since you can personalize your phone to look and feel exactly how you want at anytime.
Music and video players... You are in for a real treat there. I use Power Amp Pro and MX player respectively and love them.
Google Now, Google maps are excellent too.
Since there is no SD card slot for this phone, I suggest you search out the otg solutions readily available for Android. While not as elegant as a internal storage solution, it does work for large libraries of music, videos, movies and provides you with the means to offload large raw files for your camera you are sure to be taking.
Look into the battery life tips and tricks threads for fully optimizing your phone. While Microsoft did a good job at doing this for you, Google lets you do this yourself to what you have running and syncing and as such you will need to learn more about this to get the most out of your device.
All of this seems daunting or overwhelming at first, but take your time and make the effort because that will make the difference between good battery life and mediocre battery life and your overall impressions of the phone.
Don't be afraid to ask questions if you are having trouble with it, we all start not being sure, but after a little while you will be seeing first hand what you were really missing being on a WP.
Posted from my Galaxy Note 5