You can’t set it up without an iPhone. But, once you set it up - especially the cellular one, you can leave your phone at home. You can do anything on your watch that you can on your phone that would make sense on a screen that small. You can make phone calls, text, receive notifications, get directions, stream music and podcasts, etc.
As of the latest OS you can download apps directly to it.
As of the latest OS you can download apps directly to it.