well, i never used the mega, but i suppose that the experience is the same as it is with the 2009 or it's clones (got 2009 and modified Pico here).
You 'could' use a Hardware programmer if you'd like but you are right - you can program the Arduino (mega) with the usual Arduino IDE or various other IDEs including Eclipse. Compilation is done via the AVR-C compiler which is afaik for free anyway.
You use a language that is almost identical with C, yet of course you have to keep in mind that you dont have the full stdlib working for you.. yet you still have a extremely wide range of possibilities.
As you want to work with pressures you should keep in mind, that floating point calculations arent reliable (http://arduino.cc/en/Reference/Float
) but from experience good enough to be used.
So, to make it short: Yes, you wont need anything but a USB cable fitting your Arduino to make it work ;0)
By the way - in case you want to go from prototyping to a stand alone system you could make an Arduino compatible stand alone with just a fraction of the money needed for a Duemilanove - i build an ISP programmer a few weeks ago that did not cost even 15$... and it is programmable via USB (or rather RS232 -> USB) and has everything one needs...