Simple answer is, Yes...you will miss your iPhone for awhile. But you're embarking on a whole new adventure! If you like tinkering with stuff and trying out new things, you're going to grow to love your new Captivate. I've had mine for 3 weeks now and there are some things that I still miss, but all in all I'm still stoked about the new phone. Anyway, to answer your questions:
1) There is no "iTunes Store" to speak of, but there are tons of places to get things. The main one I've used is Amazon. You can download music and stuff right to your phone or to your PC and sync it. Prices are comparable and so is the selection.
2) For your current MP3 files, your ripped CDs will go over just fine. Your iTunes music will take a little doing. I don't think we're allowed to discuss all of the details here, but a simple Google search will give you a few good ways to make your iTunes music your own. (Hey..you paid for it!)
3) Audiobooks, I'm still looking for a good solution to that one myself. Thus far I have just taken a few here and there and converted them to MP3 format so I can listen to them. I'm sure that there will be a solution soon, just keep checking here and around the Android market and something will come up.
As for things to be aware of, just keep an open mind. My first days were a bit frustrating since I had been an iPhone user since day one. I got used to the iPhone doing things certain ways so it was a bit of a learning curve. But there are tons of sites out there and tons of good info right here to help you out. Pretty much any question you come up with has already been answered here, there or somewhere.
One of the great things (as you mentioned) is control. You have it now! For example, I hate the stock audio and video player. Mostly because it is two separate programs. I also didn't like the way it handled playlists and also just the look of it. So I did some looking and trying and testing and finally found one that I like. You can't do that on an iPhone. Here in Android world, you can use the stock apps, or replace them with ones you like.
Good luck, you should be really happy with your new phone. Captivate is not 100% perfect, no phone is... but it comes pretty darned close!.
Enjoy!