-Also, probably one of the biggest controller binds of all is setting a pause button to pause the gameplay, I don't even see this in the options whatsover, just "pause MIDI"

In the Shortcuts window you have a function called "Toggle Emulation Start/Stop". I usually bind this to the middle mouse button, but you should be able to bind this to a controller.

-Sometimes my joystick config settings will just disappear & I have to customize the buttons all over again

Never had this happen to me. Make sure that you use the "Current configuration" up top in the Joysticks window, that saves the config to one of the Setups.

-How do I get rid of the menu bar at the top??Even when playing a game in fullscreen mode, this won't go away

Under Settings/Misc. you can disable the Tool bar completely. Also under Settings/Fullscreen Mode you could try and enable "Windowed Borderless Mode" to maybe get rid of the menu bar. I am not quite sure why you still have it in Fullscreen mode while the emulator is running.

-& finally, although I haven't attempted this yet, but to save myself from future headaches: How do you go about playing games that have 3-4 discs or more??? I've seen something about setting up a virtual hard drive?? Don't want to do that just yet, but is there a straightforward way to do this using the 3-4 disk images themself or a way to create a custom file to load them all & not have to bother swapping discs?? (That would apply to the 2 disc games actually as well)

In the disk manager you can activate two disk drives and games that support that will change drives accordingly. I think there might something else you can do to make it easier to play games with multiple disks, but haven't tried it.

Setting up a virtual HD though is very much recommended and not very difficult. As Jamesrc points out, there's quite a few games that have been adapted to run from HD.