If there's a fee to open/close the channel, and I only make a single transaction with the other party, how is that different to the existing fee structure?
For just one transaction, you'll end up paying more in fees than without using LN.
If i make regular transfers, do i simply keep the channel open for all future payments (say with exchange)?
Correct.
As far as i can see, LN makes it cheap for bulk tx but not really helping the user with individual tx. I hope i'm missing something.
It's very likely (centralized) hubs will emerge: you open 1 channel with the hub, and the hub has many other open channels. Say Bob <> hub <> Alice, or Bob <> hub <> exchange <> Alice.
As long as you don't close the channel, you can keep using it without paying on-chain fees.