What, really?
I've never actually tried it, and always assumed it left a bloodstain.
Nah, it's more like a homeward bone that you can always use, but you don't keep your souls.
Man that part with the archers in Anor Londo is pissing me off. I've never felt so frustrated when playing this game. This is some grade A bullshit.
Run. You don't even need to sprint, just don't stop on your way up. Ignore the one on the left. Roll through an arrow while heading to the guy on the right - don't block it. Get in his face and parry/riposte, kick, combustion, force, or otherwise knock him off the ledge. Works every time.