Glad to hear you're enjoying muCommander, it's always pleasant to hear from happy users :)
To answer your points:
1) Edit new file: not a bad idea, I'll run that by Maxence (project leader).
2) Keyboard shortcut for the address bar: Do you mean the CTRL-G shortcut that is already implemented, or am I missing something ?
3) Shortcut for the contextual menu: agreed. That's already in our TODO list (http://trac.mucommander.com/ticket/155
4) That's already implemented through the bookmarks and credentials:
- bookmarks remember server addresses.
- credentials allow you to tie sets of credentials to a specify server.
5) Native windows context menu: that one is a bit more of a problem: muCommander is a cross-platform software, which can make it hard to add system specific features such as the one you're requesting. The windows context menu, in particular, appears to be all but impossible (or at least we haven't figured out how) to interact without embedding native code, which we try to avoid at all costs.
If you happen to know of a manageable way to interact with the windows contextual menu in Java without having to use JNI, I'd love to hear from it though. Your request is a fairly common one and we'd be happy to implement it if at all possible.
Hope that helped !