NRboi, the sensor sits below the surface of the skin, and the transmitter (which reads the data from the sensor) is stuck onto the skin above the sensor. I wore one for 5 days last month, have a click on my blog to see the photos and blogs about it.
There are a few different types of CGM, the one bev's son uses (Medtronic) 'speaks' to the pump (so to speak!) so is specific to his pump. I found out recently though that they've now designed it so that they can be used independently of the pump too.
The one I wore, the Freestyle Navigator, was also independent of a pump.
In terms of can you have them without having a pump, they cost about ?30 a sensor the last time I heard, so I suppose if you can cough up the dough then yes you can have them.