Applied for CSN. Was kind of nervous about this one seeing as so many previous exchange students have warned me about doing it right - but it was pretty straight forward. You can also take an extra loan for your flight ticket which was really good. I called CSN and spoke to them about this and you don't even need to send them your ticket as proof of how much it cost - as long as it is under the set limit they have for that particular country. For Australia it is 16,000 SEK.
Another good thing to remember is to apply for an entire year of CSN right away! When you finish your exchange and come back to Sweden, sometimes the grades aren't send back to MAH right away, so CSN don't get any confirmation of your studies in time. This means that you might spend 3-4 months living on your savings account - which might kinda suck when you've just been travelling and probably are pretty broke! So make sure you do two separate applications to CSN - one for the exchange term, and one for the term after you get back.
I did my CSN application pretty early in the year so I still need to do my second application.. So you don't really need to worry about this bit until about halfway through term really..