1) You can create as many opt in email groups as you want from the admin. Then it will give you the html code to create a "subscribe" button that you can place anywhere on your site, on a blog, or anywhere really you want to. When someone clicks the button they will be taken through the registration process and added to that mailing group that you can then use for sending emails.
2) You can add opt out options to the email that you send with a token... it is included in many of the pre-canned templates. There is also a checkbox that will appear on the users profile page that they can use to unsubscribe at any time.
3) You can set the return address for bounced emails, but they are not tracked or reported on by the system.
4) There is not a distinction between the type of bounced emails nor is there an automatic removal.