D'Acosta,
Welcome to the board. I'm sure with some time you'll come to know (and love) your new Apache. As a quick answer, there are tons of things you can do to improve this phone - probably more than for any other phone (in the US, anyway). First thing to do is to read the stickies at the top of this forum - all of them should take about a week. By then you should be ready to flash to an updated rom (and forget most of the tweaks and hacks you learned by reading, because they're already included in the new roms.)
Here's some attempted answers to your questions:
1) The sound volume itself is the Achilles heel of this phone. Even after doing all the tweaks, chances are it still won't be loud enough for you. Good sound profiles require 3rd Party software or one of the latest roms incorporating HTC Home. I use (and strongly favor) PhoneWeaver.
2) I've never tried assigning separate ringtones to contacts, but this groupwise editing sounds like something Pocket Informant should be able to do.
3) OBEX supposedly works already. See here:
http://ppc6700users.com/forums/viewtopic.php?t=658 and here:
http://howardforums.com/showthread.php?t=855158