Some/most of these have probably been answered before, but I can type out quicker than I can read all of the above, so here goes... (P.S. Seasoned Mac user, and I sell and fix them as a day job)...
1. Most external devices used to come formatted as FAT32, which is readable by both Macs and Windows PC's. But FAT32 limits a single file size to 4GB, so in this day and age of HD video and large file sizes, external drive makers have been switching back to NTFS (Windows format) and HFS+ (Mac format) separately, so not that many drives work on both these days out of the box unless you reformat them. Also, some external drives are shipping with USB3.0 compatibility these days, and Macs which don't support USB3.0 can have trouble recognising a USB3.0 drive even though it should just work as USB2.0 speed anyway when plugged into a USB2.0 socket. It's VERY odd that in this day and age, when both Apple and Microsoft have really worked together to make Macs more easily integrated into a traditional Windows based environment, it's the external Hard Drive makers that are creating the problems right now!
2. Empty the recycle bin, when your external device is still connected.
3. I've been using Macs for about 6 years now, and recently just bought myself a brand new 13" MacBook Pro with 2.7GHz i7 processor running 10.7 Lion. I've been on Mac since the early days of 10.4, and run everything inbetween too. I keep getting similar issues that you describe when I've got more than one application open, and I've done a bit of reading around this too. It seems that Lion is causing the problem, and even despite the recent 10.7.3 update, it's still not all been fixed. I've always chosen to be a slow adopter of the newer OS before as I don't like to do someone's BETA testing, but given that I needed a new machine, it came with Lion on already, I went for it. Lion has some great features, but I still think there's a few bugs that need ironing out. It's only been on the market 6 months though, most OS's take 12 months or more (Windows, Mac, Linux, whatever in my experience) to become fully stable and have all their bugs ironed out. But I'd agree that in 6 weeks of my new (Very powrerful!) new machine ownership, I've seen the spinning beachball more times than in the last 6 years together I'd say!
4. Maybe similar problem to above. I don't use Safari though. Much as I like Apple, I'm not that much of a fan of Safari, and prefer both Mozilla Firefox (which I have had no issues with) and Google Chrome. Full Screen apps are nice, but do they really matter that much on a web browser? The only time I ever want full screen is for watching videos, and I can do that on youtube no bother anyway by hitting the full screen icon on there.
5. Annoying indeed, but as has been pointed out, easily fixed.
6. Easily done, when you select "Print" in Microsoft Word at least, you click the "PDF" option down the bottom of the window and away you go...
Here's a great bit of software for you, that I suggest ANY Mac owner with new enough OS (older OS's not supported I don't think) downloads and runs. I have been using it for years on Windows machines, and quite frankly it's superb, and now they've made it for Mac too...
http://www.piriform.com/ccleaner
Stick with it though, I can guarantee that at the moment you're just experiencing a blip, caused by both lack of familiarity with the OS, and also Apple not being quite up to speed getting Lion fully problem free just yet (IMO). Sooner than later though, you'll really begin to appreciate how much nicer to use Mac OSX is than Windows, and what it can do for you.
Any more issues, feel free to drop me an email personally if you need a (reasonably) fast response...