You might find Cmd+Shift+/ useful then. It allows you type menu commands on keyboard, see where they are in the menu, and discover new functionality.

The default shortcut to focus the menu bar is Ctrl-F2. I change it to Ctrl-2 and frequently do things like "Ctrl-2 F <Return> O <Return>" to open recent files. For leaf menu items I set per-app keyboard shortcuts in the Keyboard pref pane so I don't have to do the Ctrl-2 song and dance to find things I use all the time.

There are some undiscoverable ways to use the keyboard on OS X. In many alert dialogs you can hit Cmd-[first letter] to select that button, e.g. Cmd-D for Don't Save, and Cmd-M for Move to Trash. They don't underline the letter because it's ugly, but once you know about the convention it doesn't matter. I like the way Windows displays the underlines when alt is pressed.

Your first point is very useful. Still way slower than the Windows way but way quicker than mousing it.

I already knew the alert dialog trick. It doesn't work consistently though which is rather annoying (Apple's own apps rarely seem to support it)