The PS3 is still pretty much the best all-round Blu-Ray player there is. It's just more future-proof, faster loading and versitile. As for the quality difference, if you're used to progressive scan DVD on quality equipment, no it isn't that huge. However you really do notice it when you go from watching Blu-Rays back to DVD. You don't really notice how much better the image is until you go back and all the horrid little faults DVD had become all the more apparent.
Same goes for HD audio, but less so. It totally demolishes Dolby Digital, but in comparison to DTS for example, which is twice the bitrate, the jump is nowhere near as big if it's discernable at all. Basically DD sounds flat in comparison to DTS. Saying that I think I have a single disk that justifies Lossless PCM on it's own; Within Temptation: Black Symphony. I was utterly floored by the sound from that disk and have NEVER heard anything multi-channel to touch it. Stunning.
As for setup, HD Essentials is well worth the £10 or so it costs. It comes with colour swatches and test cards so you can calibrate your TV correctly. Takes about 30 mins and you're done. As I say though on a decent enough telly, when it's set right high res stuff is properly jaw dropping. But it will be ruthless of poor sources. Sky particularly.