For the first one, try going "view>preferences" and check the 'textures' box in the File Output section. If that doesn't work, I'm not exactly sure what your problem is.
As you said, fiddling with the radius can help. To change the brightness, just drag down the slider on the right of the RGB hexagon. Though it will seem like an incorrect color, the blacker a light is doesn't mean it casts black light, it means it has a lower brightness. So if you want a yellow, choose a yellow in the RGB hexagon, then drag the slider down to lower the intensity of the light.
"Settings>Environment" should get you a step closer to background images/panorama's/cubemaps
You turn on antialiasing in the pop-up box when choosing to render an image.
Yes, scene mode will normally always do better than rendering simply in object mode. The shadows and perspective of the camera add a very good deal of realism. Also, you can add multiple objects and animate!
