I started out by loading up the books I already owned. These are free books, in .mobi format, which I have downloaded from Feedbooks. I originally downloaded them to read on my laptop, using the Mobipocket Reader PC software.
As an experiment, I also purchased a book from Amazon's Kindle store. To do that, you need a US credit card registered to a US address. It happens that I do have a US credit card and a US address, as my company does a lot of business in the States. But, as luck would have it, the card is registered to our Scottish address. So I took the other route, which is to credit a gift voucher to my Amazon account. I still needed the US address, but was able to purchase a book without a credit card. (I heard about this trick here in the forum, although I don't remember the name of the person who suggested it.)
With both the free and the purchased books, I had to use the USB connection to transfer from PC to Kindle, but that turned out to be trivially easy.
My next experiement will be to subscribe to a magazine. I suspect I need Whispernet for that, but I'll give it a try and report back.