Mostly, I wonder how all of this works. Are miniatures hard to assemble, for once?
The plastic ones, not very.
The resin ones, a bit more so
The metal ones tend to be about on a par with the resin, but the additional weight in some models makes them a pain to hold together til the glue sets. They're also harder to convert.
Do they have changeable weapons, or you assemble a miniature with one weapons and its stuck with it forever?
Yes and no. You can choose to arm models with different weapons, but most players I know aren't anal about subsitutions.
"My Lord is modeled with a lightning claw, but I've actually armed him with a deamon weapon for this game."
Some of the larger models, mostly vehicles, some people will magnatize the weapon mounts so they can swap weapons on and off.
That's always seemed a bit much work for me :)
Do miniatures have editions and can you use old miniatures with new rules?
Miniatures sort of have editions. Sometimes codex revisions can see a particular model removed from the current line up. That may mean converting the model, saying it counts as something else, or simply abandoning it.
For example, I have a Chaos Lt armed with a kai gun (a massive deamonic bolter) from 4th edition. Both the Lt and the weapon were done away with in a later edition (5th I think), so now I use him as a heavy weapons trooper instead.
Speaking of rules, WH40K seems to be in 7th edition now... does it mean that the previous edition isn't viable anymore and no-one plays it?
Most people, particularly tournament players, stick with the current edition, as it's the easiest to find opponents for. There's nothing to prevent anyone playing with older editions if they want to.
Or making up their own rules for that matter.
And to repeat my provocative question: can I play the game without miniatures?
Theoretically yes, but it would make it more awkward.
Overall, is it an expensive hobby? I browsed some shops and they seem to be charging like $20 for a single miniature...
That sounds like a character model perhaps.
All in all, yes, it is an expensive hobby. I won't lie to you about that. The army you pick is also going to be a factor in the expense. Armies with lots of cheap, weak troops still need models, and lots more of them, hence they become more expensive. Orks, Imperial Guard and Tyranids tend to be expensive to build.
Armies with fewer, better troops (ie Marines) require less models, so is cheaper to build. Chaos Space Marines and Imperial Space Marines are probably on the cheaper end of the scale. Imperial Space Marines are pretty much the flagship army, so you'll find lots of them relatively cheap on ebay and such.
If you're looking to get into the hobby, look on ebay. You can probably pick up a rulebook and the start of an army for a relatively cheap price.
If you're interested in the Sisters, I have to say I'd advise against it. They're definitely one of the red headed step children of the 40k world. The model range is small, all metal and hasn't been updated in over 10 years. They don't have a full codex of their own, and tend to operate as an arm of the Ordo Hereticus (the Inquisition).
Now, you can use miniatures from other gaming companies, to a degree. You won't be able to use them in GW stores or official tournaments, but in friendly games, you're probably fine, and there are a lot of companies out there that do conversion parts (heads and shoulder pads are always popular), and some full miniatures that are roughly the same scale as GW ones.