picture quality?

I have a quick few questions about your pictures. If you are taking pictures of a fast moving train, does it take the camera a while to focus on it and then take the picture? A buddy of mine has one and it seems like he misses the better shots because his camera has to "think" first. Also if the train is moving somewhat fast does the background blur if you pan with the engine? I know on some cameras there is a way to set the shutter speed, but if you do that do you have to set the apperature as well?
are there any other quirks with them?
I plan on getting one real soon and want to know what to be prepared for.