If you die to the monsters you drop all your stuff, that you're currently carrying, on the ground. You can mitigate this by storing some stuff in a chest near your spawn so you're able to fight monsters better with the stuff in your chest and plant torches if it is too scary.
You can punch monsters and you can craft a sword or a bow and some arrows that do a lot more damage than punching. Running away seems to work for most monster types although spiders can be pretty fast.
http://www.minecraftwiki.net/wiki/Mobs has the neutral/enemy things in the game.