If the cable is rated for underground use (i.e. UF cable), there shouldn't be any problem. The conduit is just for protection.
However, you can't run standard romex in an underground conduit as it isn't considered waterproof. Water can theoretically still get in the conduit, and would degrade the paper filler in standard romex cables.
Individual wires are preferred, and will be easier to pull through bends in the conduit.
Yep, that would work too. Even if you don't use it for power, you might want to run a telephone or ethernet cable some day.
Anthony Watson www.watsondiy.com www.mountainsoftware.com