If you have your old phone still, you can easily transfer the contacts via Bluetooth.
Switch on the Bluetooth on your old phone and in L520, then open "Transfer my data" app in L520.
Nokia updates Transfer My Data app to support Pictures and Text Message import | WMPoweruser
There's no equalizer in L520, but hearing songs in it is not that much bad. I've tried with Sony MH-750 and stereo effect is good.
The stock earphone (WH-108) is crap (For me, it didn't even fit in my ear), buy a new one.. Also not many earphones are compatible with it, so check before buying!!
Guess your "Data roaming options" is set to OFF, in mobile connection.