1. Probably in the searchform.
2. Define “appealing”…
3. I’d start to look in the stylesheet where the comment ol or li or something similar is defined. (Hint: When you don’t know in what div or other tag are things wrapped, just, click View source and look what is around the part you want to change. Then find it in the stylesheet and you are done:)
There are tons of instructions on how to do this in the WordPress Codex, the online manual.
Start with Site Architecture 1.5 to help you isolate the specific tags you are looking for in their section. Try to match those with your Theme. Then change the part you need change.
For example, search for “Go!” and when you find it in the searchform.php template, change the word to “Search”.
Making your “leave a comment” text or box different is no different. Find the section and then make the changes. You may have to make presentation changes in your style.css style sheet file to change the look.
“Speech Bubble Icon”? Again, look in the style sheet and template files for the reference to that graphic and get rid of it.