iPhone-to-Android convert: how do I change the lock screen, set up 2-click speed dialing, etc.
As you're using a Galaxy S2 which has Samsung's TouchWiz interface layered over the Android OS, some of your questions are specific to Touchwiz, so I'll answer them that way too, in a way that may not be helpful to people with a different interface:


Yes, there are a number of Lockscreens built in, if you go into Settings -> Location and Security, then you should see a section labelled Screen Unlock Settings selecting Set screen lock gives you some options.
This is TouchWiz specific. On the home screen press the Applications icon to get to the Apps list, then press the Menu button and select Edit. You should now be able to drag any icon off the "home row", and drag any other icon on (to maximum of four apps).
There are a couple of other questions on this site about setting up quick dials (like this one) etc. But it sounds like you could do what you want by creating a Starred Contacts folder on your home screen. Firstly go through your Contacts and "Star" any contacts that you'd regard as favourites, then find an empty space on your home screen, long-press there, sleect Folders from the menu that pops up and then select Starred Contacts.
Don't really use folders myself, so I'll leave that to someone else.
That was the first annoyance I noticed when I got my first Android phone a few years ago, I use the SMS Popup app for that, couldn't use an Android for messaging without it.
Never even tried doing that, but when you're in their text message conversation you can press Menu then More then Call.