I would like to have an e-mail address.

WordPress.com doesn't offer email service, but you can setup email through another provider and add that provider's required DNS settings to your "Edit DNS" page if you have a domain mapped to a WordPress.com blog. Please see these related help pages:
http://en.support.wordpress.com/domain-mapping/google-apps-email/
http://en.support.wordpress.com/domain-mapping/custom-dns/

In the future, can you please ask keep separate questions in separate threads? The original thread you posted on was about header and description fonts, and you posted several different questions about different things below it. Keeping similar questions organized together in the forums makes them easier to search later and easier to help with from the start.

General questions can be posted here:
http://en.forums.wordpress.com/?new=1

CSS questions can be posted here:
http://en.forums.wordpress.com/forum/css-customization/#postform

Also, is there anyway I can set up an e-mail response to my site based on my web address?

There is not a way to setup an auto-reply to a WordPress.com email form.

I want to change the "leave a reply" text to "leave a confidential reply." How do I go about doing that?

To change the comment form title, you could add something like this to your Appearance → Custom Design → CSS page:

#reply-title {
	visibility:hidden;
}
#reply-title:before {
	visibility: visible;
	content: "New Title Here";
}

Adjust the title to the text you want.

Were you trying to use the advanced version of custom fonts on WordPress.com so you can mange fonts through a separate Typekit account, or does selecting fonts right in the Appearance → Custom Design → Fonts page work out for you?

Thanks guys...