Live bookmarks. From Firefox Help:
"A special type of bookmark that acts as a folder to contain the links in a feed. You can create a live bookmark by visiting a site with a feed, clicking on the live bookmark icon in the Status Bar, and selecting the feed format you wish to use."
Whenever you see the live feed "logo" an orange box, it means that site supports RSS feeds.
For the shortcuts, Make sure you have Firefor set to your default browser. Go to Tools>>Options, then "default browser". Make sure the box is checked. In my time using FF, I've noticed that not all links will open in FF. Some of them are designed to open in IE.
There are dozens of add-ons for Firefox. Go to
https://addons.mozilla.org/ to see a bunch of them. I would highly recommend Adblock. It does an excellent job of blocking unwanted banner ads. You can block basically anything with it, including Flash ads. I also have the Yahoo! Toolbar for firefox. It's available at
http://toolbar.yahoo.com
As for other extensions, just look around the add-ons site. You'll probably find a few interesting things.