Cosmo - Definitely take a few HOURS reading through
www.projectorcentral.com and take a look at the forums/FAQs and screens forum there. Some good info to be had.
1. The Sony Cineza that you looked at is good, but I wouldn't classify it as good as the Z4 or AE900 which can be had for around $2K from Visual Apex.
2. A projector has the same qualities as any other display... It needs good color, good processing, good motion handling, good scaling, etc. Just like a plasma, CRT, or rear projection unit.
3. A screen needs to be a screen. You CAN use a bed sheet, or your white wall, or any number of other things. But, if you can swing $3,500.00 for the projector, it would be far better to get a $2,000.00 projector, and a $900.00 screen (
www.carada.com) and then still have $600.00 left over to buy a couple of new bulbs.
4. Expenses: You need to mount the projector and a ceiling mount, if you go that route, runs about $120.00 for a really good one. You need to run cabling to your projector - the minimum I recommend is HDMI, Component, and Composite which may run you about $200.00. Replacement bulbs, definitely depend on usage, but a few hours a day and you can expect a new bulb ever 1-2 years or less. 2,000 hours is optomistic in my experience, though some do get that, and more. 1,500 is much more realistic. But, at 3 hours of use every day for a year, you still are only around 1,000 hours.
Other expenses? None really. Once the projector and screen is up, you have the projector mounted and cabling from your receiver to the projector, you are set!
Other considerations? The projector is a video only display, like your computer monitor. So, you must use your A/V receiver all the time. This is normal. Your room MUST BE LIGHT CONTROLLED! Sounds like it is, so no worries there, but that is singularly the most important thing.
Anyway - good questions, spend a few hours a Proj. Central - ask more should you need to.