1. You can place your books into virtual "Collections" to organize them.
5. Highlights and notes are easy to take; exporting them is a little trickier since Amazon changed the note format so that one of the more useful tools to extract them no longer works under the newer firmware.
But Amazon backs up notes on your Amazon-purchased books to kindle.amazon.com, from which you can then save the page. For both your sideloaded and directly purchased items, the Kindle also places a copy into the auto-generated MyClippings.txt file which you can transfer to your computer.
MyClippings does show some of the context of the note: book title/author name, location #/date added, then a copy of the highlighted text or your note.
There's apparently some sort of limit on how much of your highlights will show up in MyClippings.txt. I think it's something like over 10% highlighted on a DRM-ed book and it'll stop copying the text over, although you can still see all your highlights when you open the actual book.
6. Also add DRM-free Mobi/PRC format (what AZW is a version of, and usually shows up on other sites as) books to the list. If you rename an HTML file so that it has a .txt extension, then if it doesn't have very fancy formatting or tables, you can load and read it on the Kindle without any further "conversion".
8. Sideloaded books have same-display status as Amazon purchases on the actual Kindle. That is to say: you can access and delete them all from the same set of menus, and they're treated just the same by the software as far as being shown on the Home screen, being able to take notes, etc. goes.
There are a few things that you can only do with Amazon-purchased books and vice versa, like text-to-speech (blocked by certain publishers; freely available to your own documents), some of the social-networking tie-in stuff, looking up book descriptions in the Kindle store.
But aside from that, there's no special section you have to go to in order to look at your non-Amazon books, and you can dump them all in the same folder when you transfer via USB.
Hope this helps.