If you provided an e-mail address with your application, the PPR (passport request letter) is usually an e-mail sent to the principal applicant (the person being sponsored). Different visa offices hold on to the passports for different lengths of time (e.g., India asks for it very early on in the process and holds on to it for months; the American offices usually just ask for it once everything is approved and ready to go so it's just a matter of mail processing time, which can be a few weeks).
If you have a trip coming up, you can always e-mail the visa office and discuss detailed logistics with them (e.g., get an extension on time for them to receive the passport, send a pre-paid courier mailing label to speed up mailing time, etc).
Every person that becomes a PR (visa exempt and not) gets a CoPR. It is a Confirmation of Permanent Residency document. The document will be stamped by the Border Officer when you land and becomes the proof that you are indeed a Canadian Permanent Resident. Once you get your PR card, store your CoPR in a safe place as you'll need it should you apply for naturalization or pension in the future.
In addition to the CoPR, persons from non-visa exempt nationalities, will receive an immigrant visa (pasted into your passport) so that they can travel to Canada to land. The visa is helpful as it can also serve as an additional identification you can use once you are in Canada to get your SIN card, driver's licence, etc.
