Opera looks nice but doesn't seem to have that many options either :/  Looks like there's no ad block (have to rely on a hosts file block?).  Seems like no browser supports changing proxies either >_>
Dolphin HD doesn't look like a bad browser, though there doesn't seem to be many addons for it.

RockPlayer also doesn't seem to hide the soft buttons unfortunately, guess I'll have to wait for an ICS update.
Did find DicePlayer does everything well, but I wish that pausing could be made easier.

SuperUser seems to only be a 'su' frontend (like UAC), not exactly what I wanted, but I did find Permissions Denied, which seems to be what I want.  Also using DroidWall, though it doesn't pop up with a prompt when an app tries to get network access.

GO Launcher EX seems to have a running apps list, which makes closing apps a bit easier.  Will need to see if there's a widget for it.
Speaking of which, I can't seem to notice too much of a difference with GO Launcher compared to the stock launcher.  Maybe it's because there's some not so obvious gestures or hidden features?

Tried the Android Revolution HD ROM, which seems to include a whole bunch of apps I won't use (like social networking stuffs), so switched to the Android Open Kang ROM, which seems to add a few more options.  I guess these ROMs are mostly unlocking stuffs and some slight tweaks - had expected more of a difference.

Thanks for the tips C21H30O2

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Phone seems to be comfortable in the pocket, though too heavy to not move about when running.  I kinda like running around places and looking like a weirdo, so I'll probably need some hard pouch or similar so I can dump it in the bag.
You get about 13GB of usable space.  Had worried about that with no expandable memory, but at the moment, looks like plenty.  Apps are typically only a few MB (dunno how big installed), music can be compressed to HE-AAC (~2-3MB per song), and 720p video, whilst takes up more than on the PSP, isn't too bad either (I'm getting under 200MB for most anime episodes).  Haven't tried video recording yet, so IDK how much space that uses.
I have a suspicion that the amount of space the OS uses can be reduced more, I mean, surely you don't need that many ringtones on there...