Yeah the stuff you buy from Amazon is in their 'Cloud' sort of thing. You buy the rights to it and you can download it to anything when you want. Only applies to electronic media though, sadly you can't get the paper version of a book you've bought on Kindle. However you DO get the rights to download the MP3 version of a real CD that you buy, which is kind of cool.
Also, I had assumed that you could download mags to a Kindle but apparently not.
You can - there's a magazine and newspaper section on the Kindle store, but there's not that much in it. But you can download a Kindle version of STW from the site - you eithe have to do it from the device or with a PC and copy/email it over.
Stuff from the store is cool because it gets pushed to your device every day/week/month automatically. STW doesn't do this afaik.