The main thing why people sync (the key word) their PDA's/Phones with their PC's is to keep the connection between Outlook and your phone going ... That includes Notes, Contacts, Calendar and other things such as Files and Music using WMP in Windows on your desktop
The other thing too, is that most applications and games come in the installer format, and by that I mean you download the .exe (or .zip with the .exe inside...) and run it, and it installs it to your computer and ActiveSync, and once the files are copied out of the installer/extracter, the files are then copied to the phone and installed. Sure, sometimes instead of an installer, you can download the .cab alternative, however this isn't that common, unfortunately.
Make sure you have the latest version of Active Sync downloaded from the Microsoft site, and remember, for the most compatibility, run through the wizard that Microsoft provide
It makes things a lot easier!