I'll have a go at answering those questions for you...
1) It's important to draw a distinction between the CCDs used in cameras like the CP5000 and those used in the D1 series. Take a look at http://www.dpreview.com/reviews/nikond1 which shows the size difference between the 1/1.8" CCDs used in cameras like the CP series and the D1 CCD. Clearly you couldn't use a 35mm lens with a 1/1.8" CCD since the cropping effect (a.k.a. focal length "multiplier") would be so extreme the camera would be virtually useless.
Good lenses do make an enormous difference to digital cameras, and it's something that's showing up increasingly in new designs. Take Sony as an example: their early cameras used variants of their video lenses, while the latest cameras use lenses designed by Carl Ziess. Result: much better optical performance from the newer cameras.
There's also the fact that lenses need to be designed somewhat differently for digital cameras since, to get best results, it's important that the light strikes the surface of the CCD as close to perpendicular as possible. The lenses in the Olympus E-10 and E-20 are specifically designed with this in mind.
2) The advantages of interchangeable lenses are just the same for digital as they are for film: it's very difficult to produce a lens with, say, a 25-250mm range that has really good optical performance.
The big disadvantage is simply that when you change lenses dust can get in and end up on the surface of the CCD, leaving spots in your pictures. Unlike a film camera, where this would effect one frame (or, if you were very unlucky, would scratch the film spoiling one roll) dust on the CCD spoils all your pictures until you have the camera cleaned.
The big price difference between digital SLR's and 'conventional' digital cameras is down to several factors. First and foremost is the large CCD: in the D1 series it represents over 25% of the cost of the camera. Secondly, current SLR's are dramatically faster (since their prime target is the photojournalist market): this is achieved using large memory buffers, dedicated processors and so forth which inevitably push the cost up. Finally, most of these cameras are built to "professional" levels - like the F5 - which again adds to the cost.
3) Nikon's strategy seems to be to introduce new technologies at the top of its range first - as opposed to Canon who introduce new technology into the midrange. Hence you have Nikon with a pair of high end digital SLR's and Canon with a mid-range one (and who are just about to introduce a high-end one). Nikon's logical next move would be a digital equivalent of the F80 to challenge Canon's D30, Fuji's S1 and the Olympus E-20. But such a camera would probably be priced mid way between the CP5000 and the D1h.
Nikon have actually introduced some lenses with their digital cameras in mind: one of the prime purposes of the 17-35mm AF-S was to give the D1 a decent wide-angle capability (it gives a field of view equivalent to 25.5-52.5mm on the D1). The 14mm f/2.8 was also aimed at the D1 for the same reason.
The single factor that's stopping you seeing a $1000 digital SLR is the cost of the large format CCD that's necessary. Digital SLR's will always be more expensive than their film counterparts - but that's fair enough when you consider the differences in the complexity between the two and the fact that the digital camera makes taking photograps essentially free....
As Scott has said, it's well worth reading around the subject, and http://www.dpreview.com is a very good place to go for news and reviews on the latest cameras.