Yes they download to console, and MS published games stay there forever while 3rd parties typically stay about a year or so. There's a leaving soon section to keep tabs of so you don't miss a game.

Just skimming through GP...

platformers - The Ori games, hollow knight, dead cells, Celeste, yooka-laylee and the impossible lair, super lucky's tale, Banjo 1+2, Psychonauts 2 whenever that releases (Note most of these are on Switch but if you missed any of these, good time to jump in with Gamepass)

Strategy - Wasteland 2+3, Halo wars 1+2, Gears Tactics

JRPGs - Monster Hunter World, Kingdom Hearts 1.5+2.5 | 2.8 | III, Final Fantasy VII | VIII | IX | XII | Dragon Quest XI, Nier Automata, CODE VEIN, Tales of Vesperia

WRPG - Fable Franchise, Fallout franchise, The Elder Scrolls franchise, The Outer Worlds

There's a lot to choose from on Gamepass, as for buying games... Idk I can't help much with that ever sense Gamepass I barely buy games these days though I did Buy Yakuza Like a Dragon.

Some MS exclusives that might be worth checking out: Sunset Overdrive, Quantum Break, Halo franchise (Fantastic Single Player experience even if you're not into MP), Gears of War, Forza Horizon franchise, Sea of Thieves (game I have over 1,000 hours in, friends are mandatory to play this with), Ryse, Recore.

Hopefully this helps, there's a Gamepass app for phones, I recommend it. There's also an awesome rewards program (afaik its in Canada) and it's easy to earn points and buy games. Xbox has become a platform with insane value. 

Like everyone has mentioned, get Game Pass. There is such a wide variety of games on the service, there will definitely be something you'll enjoy. Check out the Xbox website of all the titles available on it currently Xbox Game Pass Library | Xbox.

If you're really serious about joining the services, you can save a lot of money with the Xbox Live Gold to Game Pass Ultimate conversation. Essentially, you buy up to 3 years of Xbox Live Gold and once you are a Gold member, use the Game Pass Ultimate deal for $1 which turns your 3 years of Gold into Xbox Game Pass Ultimate(Game Pass+Gold+EA Play+Game Pass PC+Xcloud).

I'll have to look over the current list of Gamepass games to recommend some specifically. But, if you've mostly only played Nintendo stuff, you'll have tons of good AAA and AA content that is new to you with a Gamepass sub. In fact, this is like the perfect scenario for a Gamepass subscription.

Is that deal still available?  I used it like a year ago, but I thought it was for a limited time only.  

You should put a little time into Forza Horizon 4 even if you don't like racing games at all.  It is spectacular on S/X.  I haven't purchased a racing game since the first Ridge Racer for PS1 25+ years ago.  But, I always play the FH games when I can get them at no additional cost (formerly from my Gold sub, now with Gamepass).  

Game pass of course. Any reason your picking the S over the PlayStation 5 without the disc drive? If you want great games out the box with a PlayStation plus subscription you get 20 of the best PS4 games with it in addition to everyone with a ps4/5 getting Horizon for free here soon. PS+ can usually be found for under $30 on various websites. When buying the Xbox S or X Gamepass is the absolute must buy, best deal in gaming.  Coming from Nintendo Rare Replay on Gamepass will be up your alley. 

It's the only one in stock all the time here in Canada haha

Yep, anyone can still do this. 

Wow! It is such an incredible deal. Zero people should be subscribed to Gold alone at this point then, unless they're people that just sign up for one month per year when the new COD hits. I hope, for everyone's sake, that people notice this offer and take advantage   

Do you know of a way for an existing GP subscriber to buy another year of gold and convert that for a dollar?  I'm assuming this isn't possible, but I'd definitely take advantage if there is some known loophole. 

If you're a current GP ultimate subscriber, you won't be able to do this. If you bought a year of Gold and added it to your account right now, it would converted to 4 months of Ultimate.