Firstly, welcome.
Secondly, answers...
a mix between the 7 color led mod and the sound reactive mod.
(7 color sound reactive led mod)
L0rdNiC0's tutorial for the Sound Reactive Mod for the slim can be found
hereclear umd window
Easy enough, take the PSP apart, dremel out the area you want to be see through, put a custom jewel in place, be careful though as using plastic too thick can stop UMDs from fitting in properly.
lights inside the umd window.
If you can do the sound reactive mod this will be a breeze, personally I'd start off with putting LEDs in the triggers to get the hang of what you're doing if you've never done anything like this before.
If you're going to attempt any of these I would definitely recommend spending some time searching for and reading through threads discussing peoples problems and solutions, knowing what to look out for and common mistakes can stop a lot of heartache in the future but then again the best way to learn is through practise, either way you'll have fun unless you break your PSP, try not to break your PSP and hey even if you do there's plenty of vultures here to circle over it picking off parts.
Thirdly...no idea on the memory stick front, have a search on Google for common problems, though I'm sure someone here will have a suggestion for you.
And fourth...Have fun.