You can choose to require an e-mail address when people download your free music, but it's not the default setting. I'm not sure about paid downloads, though.
They do. Every once and a while you'll get a nice thank you, especially if you leave a note with your purchase
I've received several thank you's from musicians after purchasing their discography for like $15. It really feels like you're directly supporting them and is one of the main reasons I love Bandcamp!
I'm pretty sure in most cases you get subscribed to an artist's mailing list for getting their music.