FYI you can get a full 157-page manual
here. Still doesn't tell you everything but it's a whole lot better than that silly little thing they pack with the phone.
I also want to find out how to download stuff -- e-books, ringtones, whatever -- without a data plan. I use my USB cable to sync Outlook calendar appointments, and that works fabulously. I can transfer data to the phone but I haven't quite figured out all the details of how to do different ringtones/etc.
If you get your e-book onto a computer, and connect to the phone with USB (go to Tools -> USB Mass Storage, and then your computer will see the phone), then you should be able to transfer the e-book to My Music and play it there.