How to purchase Windows for my planned VMWare Fusion setup -- via online download, etc
You can buy Windows 7 online from Microsoft, and they will give you a license key and a download link. You should be able to use that installer directly in Fusion, no need to burn it to a disk.

I would recommend Windows 7 over XP - it will be supported by Microsoft and 3rd party software much longer, and has many technological advantages. You should be made aware  that Windows comes in several flavours—in addition to Home Premium, Pro, Ultimate, each of those can be purchased as an Upgrade, Full, or OEM version.

OEM is typically the cheapest, but is intended to be installed once on a computer you build, and can't be reused. Technically it's not meant for VMs, but in practice you shouldn't run into issues with it. However it can only be purchased as a physical copy, not downloaded. You want to stay away from Upgrade versions, which are cheaper than Full versions, but check for an existing Windows install. Finally, Full versions are the most expensive, but if you want to live by the purest letter of the license agreement, this is what you need.

Windows 8 is also an option, and will have cheaper licensing, but won't be available until October.