1. Yes you separate the download for 3 games.
2. Yes the trilogy comes with *some* DLC. For ME1, you don't have to buy anything (Pinnacle Station is not available for PS3) For ME2, you need to buy Zaeed Revenge and Arrival, both I consider very important for the wholeness of your experience. Other DLCs are just for cosmetic. Mass Effect 3, unfortunately, comes with no DLC except the free ones in the MP. So you have to purchase From Ashes (really important, gives you one of the game's best character), Extended Cut (for the "fixed" ending), Leviathan (interesting for lore purpose), Citadel (extremely important), and Omega (skip this one if you want) + all the extra appearance and guns stuff DLCs.
3. AFAIK no known problems.
Great, thanks a lot for the advice
Man... that initial investment of 12 quid has jumped up a bit, but I'll see how things go!
Edit: Top of the page recommendation: Buy Gravity Rush and P4 on Vita while they're on the cheap!