I haven't tried Parallels yet, but I did get my MBP about 3 days ago. I decided to give Bootcamp a shot before I spent any cash on Parallels or VMWare. I'm definitely glad I decided to wait. Bootcamp is seriously all I need, and I'm running NX Capture on my XP partition along with a few other Windows apps that I love.

For your RAM, purchase it from Newegg. I just got a 4GB kit for $88...

Have fun with your new MBP!