You can't use a 7805, it requires a much higher voltage input for the regulation to work. Assuming this is for powering a PIC based circuit?, just use 4 x 1.2V cells to give 4.8V - PIC's work fine like this!.
This depends. Sometimes they spec based on the max a device can pull for even a brief moment. This may be many times its average power consumption. In many devices the average power consumption depends on how the device is being used so it is difficult for the spec to provide a simple answer. However usually the spec sheet provides hints as to what it means. When in doubt you'll probably just want to take the current consumption figure provided at its face value.
200mA is a rate current flows at. 1 AH ("one amp-hour", be sure you do not read as "one amp per hour") is a current capacity. The correct terminology would be a 200mA load consumes 200mAH off the battery in one hour.