Baking Steel/Pizza Steel Design
1) How thick should Baking Steel be?

Opinions vary.  Standard thicknesses for these seem to be in the 1/4 inch to 1/2 inch range.

Advantages for thicker:


Heat at faster rate for the initial burst of baking, if you're trying to reduce bake time as much as possible and approach Neapolitan style pizza (generally better ability to get some charring on the bottom, if that's your thing)
Significantly improved ability to bake multiple pizzas with little recovery time in between


Advantages for thinner:


Weighs less: this is a significant issue with larger steels -- my 1/2" steel weighs more than 30 pounds and is a bit awkward to move around, not to mention making thin oven racks sag a bit
Faster pre-heat time


To me, the improvements of the thicker steel are worth the weight.  I can do 3 or 4 pizzas in quick succession before I start to see the steel cool enough that I want to give it substantial recovery time.  But it might be difficult to move around if you are concerned about heavy things.  And if you only tend to bake one or two pizzas at a time, the thickness may not give you a huge advantage.  

I've never heard of noticeable warping with steel plates this thick.  If you go thinner than 1/4", maybe it could happen, but then you'd begin to lose advantages of the steel over a decent stone in terms of heat retention and "burst."  

The only advantage of a lip, in my view, would be for the rare occasion when I miscalculate and have sauce that significantly overflows the pie, or a pizza gets stuck to the peel and ends up partly right on the edge of the steel with stuff bubbling over.  More likely, it would just be in the way most of the time.  But I have heard of people using steels as griddles on flat-top stoves -- in that case, having a groove (not really a "lip") near the edge could be helpful to catch grease, depending on what you're cooking.

2) How much if any area do I need to leave open around the sides for the oven to function?

Depends a bit on the type of oven, but you need some room for air circulation.  The standard recommendation is at least about an inch on all sides in your oven, but you might be able to get away with less on some sides if you have adequate circulation on others.  (For example, most ovens are wider than they are deep, so you might be able to get something closer to a square steel that has less clearance in front and back, as long as air can easily move around the sides.)  And again, type of oven matters a lot: for example, if you want to run convection, you want to ensure proper clearance for air circulation.  And gas ovens often assume more air circulation for proper operation than electric.

But from a practical standpoint, you may want to consider size vs. weight.  I wouldn't really want a 1/2" steel that went edge to edge on my oven racks, as it would be even more heavy and awkward.  (Tip: if you really want a very thick steel and want it to cover most of your oven, and you're having it custom-made, just have it sliced in half to make two smaller pieces that are easier to handle.)  But with a thinner steel, I'd probably go as large as would be practical (with the 1" clearance or so).  That's what I have with my thick baking stone.

3) How much energy am I wasting by running the oven for longer? How much If I do not have a chain of items to cook after the pizza that require less and less heat (bread, cookies, etc)?

The general philosophy is that cooking energy use (including baking) is generally quite small compared to all the other uses for electric and/or gas in your home (like heating/cooling, other appliances, etc.).  I've seen stats that electric ovens are generally less than 2% of electricity use in homes (on average).  For those who cook regularly (probably not most folks), the percentage is likely higher.  Even if you double your oven use by preheating your oven for longer periods, it's probably not going to make a huge difference in your utility bill.  But of course your situation may vary -- if you're baking pizzas at super-high temperature every day, and you're doing it in the middle of the summer with the A/C fighting the oven, that might be significant.

Lastly, the question asks in general if there are potential drawbacks, and I can say that I haven't noticed any for pizza.  For years before buying a steel, I was known among family and friends for excellent pizza, so I had my doubts about the improvement.  But the noticeably greater oven spring, the improved texture throughout, the faster bakes, the speckled charring on the bottom, the possibility to easily cook a "well-done" crispy pizza for those with such tastes (while using a dough that generally produces soft, thin crust) -- the steel to me is a much more efficient and flexible cooking tool for pizza than a stone.

For other baked goods, the choice is more up to the specific application.  Large bread loaves can more easily char on the bottom at higher temperatures with the steel.  But with lean breads I've seen improved oven spring and crust in some recipes.  The only other minor disadvantage I can think of over a stone is that rust may be possible if you don't use it frequently and don't store it properly.  But it's not a huge issue, and compared to the greater fragility of stones, I'd say it's a toss-up in terms of maintenance/durability issues.