how do EA work, do you get a download you can burn to DVD with a key
You download it through their client, similar to Steam. But unlike Steam it is just the regular setup files like if you bought the disc, and you can install it anywhere you want. You can also 'unofficially' back up those installation files so you don't need to download them again. Finally the EA Store client doesn't need to be running when you play your games.
It works pretty well overall.
One negative point versus Steam, not all games will auto patch themselves to the latest version, you still have to do it manually. At least one exception to that is Medal of Honor and there may be others.