fyi - the pro version is being discontinued.
difference would be
the arcade version doesn't really have a hard drive.
the pro version has a 20gb (or newer models have 60gb) hard drive.
i'd just recommend getting an elite version - it'll have a 120gb hard drive.
take a quick look at the comparison breakdown on wikipedia:
http://en.wikipedia.org/wiki/Xbox_360#C ... f_features
as for the save games, yes. you can save your game files to a USB external drive (be it an actual physical IDE/SATA drive, or even a flash drive).