The basic answer to your questions is that any raster images in indesign may look pixelated due to your display settings within indesign. They set it up this way because with indesign you might be setting up a 1000 page book, and it would be really taxing on your system resources if all the pictures loaded a full res (plus it would take forever to scroll through pages). You can turn the display settings up and down depending on how closely you want to review it within ID, but if it goes in at 300dpi, and you export with images set to 300dpi, you will get the original quality image.
I second the statements about saving as an EPS and placing that in your document. You could also get away with placing an AI file. I've done that before, packaged up the InDesign file and sent to the print house and never had any complaints from them.
If you want to get really hardcore (or lazy... you decide!), you could just ctrl-c copy your vector image in Illustrator and ctrl-v paste it into InDesign. It will show up as a vector element within InDesign and no linked files to worry about.
Don't copy and paste it if you're using a large document which will be edited later. The beauty of placing is that if you change the file later, the file will automatically change in the linked file and you don't have to copy and paste it again.