* Privacy. Theoretically, yes, but I doubt they care. How can they 'know' where you got a book, since you can buy books from elsewhere. If you did de-drm a book, it would not be exactly the same as the original.
* The screen. Screen breakage is not covered under the warranty, as that only covers manufacturing defects. You can buy a breakage warranty from SquareTrade, if you buy it within thirty days of purchase, I think.
* The size. The size is in the User's Guide (K2): 8 inches by 5.3 inches by 0.36 inches (203.2mm x 134.6mm x 9.1mm). I carry mine in my purse all the time, and I have a K1, which is slightly bigger.
* MP3: yes, it plays mp3 files, but it will, of course, deplete the battery at least somewhat more. If you use the speakers, I bet it depletes it faster than with earbuds. The mp3 player is primitive, just in order of the addition to the Kindle.
* If I shop at Fictionwise, or BoB, do I have to pay a fee to get the book onto my Kindle via the "whispernet?" Yes, 15 cents per megabyte (most books are less than a megabyte). Fictionwise and Baen Books can do this. I don't think you can buy books from BoB for the Kindle (they use Secure Mobipocket), unless you strip the DRM. But, you don't have to use Whispernet to get the books on the Kindle. Just use USB.
What is the one thing you love most about your Kindle that you can't live without?
The ability to increase the font size.
What is the one thing you wish your Kindle had/did that it doesn't? For a K2, probably some of the functions that the K1 had that the K2 doesn't: justification changing, flipping multiple screens at a time, etc.