Is it possible to easy copy applications between phones (eg. two HTCs via bluetooth) and get them running fine? Or apps just need to be downloaded from AM each time because of some installation routine that comes right after downloading?
Android 2.2 introduces the App Sharing app which is installed by default. I think this might be what you are looking for, however you will need a FroYo device.
For earlier versions you could use the app "Bluetooth File Transfer" to share the APK files, if you have these available on your memory card for example.
I use an app called App Manager by Amazing Droid (search pub:"Amazing Droid" on market) which is free and allows you to do batch backups to SD and batch installs from SD (and also batch uninstalls). The backup places the .APK files into a known location on your SD card so you can copy them off to another device.