The macbook airs are really thin and light, but the problems with them are the fact that they don't really hold much stuff and they aren't as powerful as the other macbooks. Also, the Air's do not have a cd/dvd drive. So if you're looking to load stuff in that way or watch movies directly from a dvd, think again. I believe you can buy and external reader around with the air, but that seems a little excessive... Also, another problem with the Air is there isn't a replaceable battery. That might not be a big deal for an average user, but if your someone that really likes to travel, that can be bothersome. It only has 1 usb drive. (You can probably tell where issues can be caused there). What your paying for with the air, is the size. It's really not worth it...
The differences between the macbook and macbook pro are really minuscule. You can get them both to be at about the same power. The biggest difference between the two is the screen size. The macbook pro is going to be bigger then the macbook. Also the macbook can come in black and the black Macbook is a beast.
As far as what to go with, I'd honestly suggest staying away from the air... It's not worth it. Go for the Macbook if you want a reliable notebook, but if you've got an extra $500 lying around and want a bigger screen, get the pro.
As far as software differences, there really isn't any. They all come bundled with the same stuff and OS X, as well as iLife '08. What you buy with your mac is what makes the difference there I guess.
(oh, and I prefer mac. I'm a mac user and a graphic designer. Mac is very simple to use and fun. And with boot camp now on macs, if you wanted to run windows on your notebook, you could... I suggest getting lots of anti-virus software though, because if you get a virus on your windows side, it can screw up your mac side too, even though Macs don't really get viruses, this is one way they can get screwed up.)