At the moment, you can only buy music on the phone. At some point I'll try buying shows from the PC Zune client just to see how they translate the phone.
And there is a Netflix app, and the quality over 3G, assuming a stable 3G signal, is quite good. The first ten seconds or so are blocky, but after that it's smooth sailing. I'd still recommend WiFi viewing if possible, but that's with any streaming video app on any platform.