You can't attach the digital lenses to a 35mm film camera (at least with Canon), the bayonet mounts are a little different. I imagine if you could it would vignette a bit.
As far as screwing in your extra lenses, I'm pretty sure that wouldn't work, but I've never thought of trying that. It's not like a video camera, you take off lenses and switch them. You can have no lens on your camera at any point and nothing will be in focus at all. Your filters will work if you buy a lens with the same filter diameter.
As far as lenses go, if you get a Canon, go here
and download the lens brochure, I looked at that for months while I saved for my camera. You don't have to buy Canon lenses, but I learned a lot just by looking at that catalog.
, as suggested above, has great prices and is very reliable, go there to check prices on lenses and such.
A smaller f/number means that you can shoot at faster speeds in the same light, so keep that in mind if you shoot urban at night, that's why my first lens was the 50mm f/1.8 II.
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