Let's offer up some links ...
1. Is there push email?
Yep. You can use
Google Mobile sync if you're the gmail type. I use the
SEVEN beta for home e-mail and Exchange for work, and there are other options out there.
2. Do I need exchange to get push email?
Nope. See above.
3. Do I need exchange to backup contacts?
Nope. Many of the other clients will back up contacts, and you can also use Microsoft's
free My Phone service.
4. I'm coming from a blackberry so is there something like BBDM or is it all through exchange or?
kxs783kms is right. You can use Windows Mobile Device Center. Or not. I rarely have to sync over the desktop.
5. How are software updates done?
As far as apps, developers (the good ones anyway) bake an update system into their app. Others don't and require you to download a new version from their Web site. (Looking at you, Google Maps!)
Full on operating system updates are a little more tricky. They're either released by the carriers, or the phone manufacturer. But everyone's getting better about them, and we're expecting (hopefully) much easier updates come Windows Mobile 7.
6. Do I have to buy upgrades? For example from 6.1 to 6.5?
Nope. And if you're getting an HTC device (and occasionally others), there are tons of "cooked" ROMs floating around out there. That's the power of WinMo!
7. Is there threaded SMS and MMS?
Oh, yeah. Not a problem.