Paragon Paths are pretty much Prestige classes from 3.5. Its basically an addition to your actual class.
You can multiclass only through Multiclass feats. Usually you'd only want to pick up one, maybe two for abilities and powers.
It's not that they got rid of Ehlonna, it's that they switched from Greyhawk (general default setting for dnd) to Forgotten Realms.
If you're having problems purchasing 4.0 books, I'd suggest heading to Half-Price Bookstores. I'm pretty sure they're having fire sales for 4.0 due to the work being done of DND Next.