"1) What if I'm using Disqus?"
I would recommend leaving the beta feature called Rocket Loader turned off.
"2) What if I'm making changes to my site? Do I have to sit there and wait for them to get through CLoudFlare's cache?"
If you're making changes to the static content we cache, then you would want to go to Development Mode first.
3) Do I still need to worry about Cache like w3 or super-cache?
No conflict with still using these per se. I would recommend still using them...but just make sure you don't have minify options turned on at both CloudFlare and the plugin (choose one or the other).
4) What if I'm using a CDM like amazon to host my images and things?
That's fine. Just make sure the CDN subdomain is defined in your CloudFlare DNS setings (settings->DNS settings).
Some other helpful things:
Tips for new users
Troubleshooting a problem on CloudFlare