It's whatever you're comfortable with really...and a lot of watches are pretty huge these days so either Apple one is kinda considered small by comparison. In any case, one trick I saw was to stick a credit card on top of your wrist where it feels kinda flat (where the watch would rest), if your wrist is about the same width either size should be fine, if smaller you'd probably want 38, 42 if larger. Mine is about the same, and both sizes looked fine to me. I ultimately went 42 cause the look of the wider Milanese loop.
Space black watch and bracelet are only sold together. There's (much much much) cheaper third party black metal bracelets though if you ultimately want something like that. I have the black and have contrasting bands (Milanese and white sport), I'd probably go the same route if I went space gray since they looked alright in other pictures I've seen.
It's got a decent range to the phone, but what can make it really long is if it likes your wifi network setup, then the range is as far as your whole network, iirc it communicates over the LAN rather than directly between watch-phone.