IOS – Prevent Automatic Installation of iOS Update

It is possible to download these individually. Many blogs provide links when new updates come out to the direct downloads. For example, heres a page that has links to IPSW's for 4.3.2.

It will come preloaded with the OS, you don't have to worry about that. Though, depending on delays and when you get it (And when it was packaged), you may have a minor update to do (ie, updating from 4.3.1 to 4.3.2).

While you can download these updates, its really not worth it - or there is no real reason to do so beforehand. And it adds an extra step to apply it. When you get your device, it will ask you if you want to update it (you have to option-click 'Update' in iTunes). This is a common way to apply beta iOS builds for developers.

So, to answer your question - yes, it is 'possible', but really not worth it whatsoever. And your final guess is incorrect - it will come preloaded with an OS. The only thing you have to do to start using it once you get it is plug into iTunes to activate it, then can either start using it, or apply applications, etc.

AFAIK, hardware wise they are all the same (well outside of storage and 3G) it is serial number that determines some features. The serial number has a country code in it and the update process can determine which applications need to be removed. If, for example the SN country code is in the EU, the volume has to be limited and the radio has to be adjusted for differences in Wifi channels.