Transferring to a PhD program I had been previously admitted to
First of all...you haven't even started the program yet. Give it a chance. Go in with an open mind. Hearsay is unreliable and it's normal to have second thoughts about something once you've committed to it. So put the question of transferring out of your mind for now, and focus on getting fully integrated into your department and your program. If you're mentally one foot out, you might simply turn this into a self-fulfilling prophecy.

To more directly answer the questions:

1) Yes, it's generally possible; I have a couple friends who have "transferred" PhD programs. However, "transferring" usually just means reapplying to a new program; you usually have to start over. So if you've done 2 years elsewhere, it may mean absolutely nothing and you may have to retake all of your coursework. At best, you might get credit for one semester's worth, but you're probably not going to be able to pick up where you left off at the old program. Generally, you also need the support of your advisor at the Old Program. In other words, the advisor you are going to work with in the fall would need to write you a recommendation letter for the New Program. In some cases where the relationship has gone sour, students have successfully gotten letters from other professors in Old Program, but those professors need to be very skilled in explaining why the relationship went south (in a way that reflects positively on the student.)

2) Maybe. It totally depends on the department. If you were so good that they were recruiting you heavily, and you produced evidence that backed that up in your first year or two, they might be eager to take you again.

3) It depends on how you do it, and the reasons that you transfer, and how reasonable your advisor is. Most professors understand a transfer that has to do with a shift in research interests - if you came to study X with Professor Smith but Professor Smith leaves, or Professor Smith radically changes his research direction to Y, or you change your research direction to Y - explaining to your advisor that you have appreciated your time at Great U, but your research interests no longer fit the program and you'd like to transfer to Awesome U to work with Professor Jones in your area, usually engenders understanding.

In the not-uncommon case that your relationship with your advisor goes south and you're transferring not because of research but because of personality mismatch, that can burn some bridges. But they may be bridges that you have to burn if you want to retain your sanity. Only you can make that decision.

In the less common but still possible case that your advisor is simply a jerk and hates when his students leave for any reason, even a reasonable reason can set him off. There's nothing you can really do about that, but there are typically sympathetic other professors that you can turn to for support and recommendation letters.

And how you make the break also plays a role. These are obvious things, though - don't badmouth your advisor, don't badmouth your program, don't disparage your classmates or other professors. Stay positive and make the transfer about you, and not the program itself.