Will,

I've never used osCommerce, but it all depends on what kind of integration you plan on doing. This guide for example (although very outdated) seems to have you install OSC first and Wordpress second, placing Wordpress within the OSC directory. All you are really doing is wrapping OSC with a call to wordpress so you can pull in the header and footer as defined in Wordpress, meaning WP controls the stylesheet.

Other guides, such as this one, only involve the pulling of your latest blog post from your database, meaning your OSC install and WP install will have an entirely different look to them unless you customize them to match.

In terms of what order to install theme, Market is a wordpress theme, meaning Wordpress will have to be installed before installing (uploading) Market. Whether or not you want to attempt to integrate all three is up to you, but it depends on what guide your using and how much of advanced integration your going for.

Most likely. OSC has it's own checkout / purchase mechanism, so I don't think (or expect) Market and OSC would work together (out of the box at least). I suggest just going with one or the other, whichever will work best for you.