When you have bought the game, you can download the stand-alone launcher for Minecraft here. It will automatically update the game files with the latest version. You'll be able to play the game without an Internet connection if you've been online at least once.
If you want to run the server on any other OS or without GUI it's a bit more involved (see this wiki article for a tutorial). First make sure you can use java from the command line. On Linux and Mac OS X this should already be set up but on Windows you might have to tinker with the PATH environment variable. Download and run minecraft_server.jar (621 KB) with java -Xmx1024M -Xms1024M -jar minecraft_server.jar nogui.