"What's the difference between a conventional flue and a direct vent?"
A conventional flue is what most people are familiar with. It typically consists of a double-wall flue pipe going from the top of the heater through the roof, venting outside. The fixture draws it's combustion air from the space around it (utility room, garage, hallway, etc.). A direct-vent unit on the other hand both vents and draws it's combustion air through a specially designed pipe from the outside via an adjacent wall.

"Will an instantaneous water heater save me money on my utility bills?"
If your current water heater is electric, then yes. However your savings will vary depending on your local cost per KW hour.
If you're using propane, it might save you money. Again, it depends on your local propane cost.
If you're using natural gas, then probably not. You will save natural gas, but the extra money spent on a tankless heater will probably not justify the savings.

Summary:
Tankless water heaters have their place. They're not the answer to every hot water need, but if they're used correctly can be the solution to many of them.

Is it possible to drain a tankless water heater to prevent freeze damage when not in use?
Yes. Simply drain both lines 'to' and 'from' the unit. As long as there are no check valves in the way, that should drain the water from the unit. To guarantee that there is no water in the unit, we recommend two drain valves - one before and one after the unit - as well as blowing air through the water line.