There are some programs in the U.S.A that do require you to have a masters prior to enrolling in PhD programs, although they are few. The course work difference between MS and PhD greatly depends on which program you are talking about. The point of the PhD as I see it is research. Masters is more similar to undergraduate studies in that there is a focus on class, granted if you are getting funding then you will most likely be do research while obtaining masters. The higher ranked universities (Top 5-ish) put really really heavy emphasis on research for PhD so I think there would be a bigger difference between their strictly masters program and strictly PhD program. The way I see the straight to PhD programs here is a blend of the two. The first 2 or so years you blast out most of the course work you will do and then spend the remaining years mostly on research.
I don't have any experience with grad school yet, but from what I have seen looking at professors CVs/Resumes and such, those who received a masters degree at one place and a PhD at another did not have a 6year gap between receiving the two. The norm seems to be receiving PhD 3 to 4 years after Masters. I would also think that if you come with a masters they should allow significant course credit transfer assuming it was from an accredited university and assuming they thought the classes were on par with their own. So if I had to guess I would say you don't have to worrying about throwing away a year or two obtaining your masters only to have to go 5 or 6 years after that to get a PhD, but again this is only a guess.