Don't like that too much at the moment. Its tiny, in the corner and dragging it down so it hopefully locks is difficult one handed. More difficult than what I'm use to anyway.
However I have hope that I either get usse to it or find an app that works better for me.
So is this your first android phone, period? Cause that's normal for all. It's a great feature. You'll grow to love it and it will become 2nd nature to you.
Notification bar is definitely the bee's knees, so much so that Apple is copying it. Don't worry, they'll be sure to sue themselves for it.
There are a lot of good messaging apps out there. The stock one isn't all that great. As someone who's job depends on texts, I can't afford to have a one-and-done notification so I use Handcent, which is a very popular market application and is free. The customization can be intimidating. But if you plop that on your main screen, you can see how many new texts you haven't looked at are awaiting you and you can easily open it with a thumb.