For #1: This has been answered (referencing w/o pinging), but I do want to highlight something interesting about XenForo's ping system. For anybody curious, pings only happen when a post is initially posted. If you edit a mention or quote in, or have a post get auto-merged, the ping won't happen. So if you really wanted to do, say,
@~Kilza~ instead of @/~Kilza~ but didn't want to ping me, you could just do the initial post as @/~Kilza~, edit the / out, and get
@~Kilza~ without pinging me. Alternatively, you could add the User tag's yourself, since that causes it to not send the ping.
For #2: This has also been answered, but something I didn't see anybody mention is that you also won't be notified for anything that user does (i.e. they react to a post of yours). Also, just re: PMs from an ignored user, you'll never be able to see PMs they send you directly during the time you're ignoring them. They don't even become visible if you stop ignoring them, oddly enough. But you'll see their messages in PMs started by a user you're not ignoring.
For #3: When you watch a thread, you'll be notified for
the first unread post in that thread. Any posts after that won't produce a notification until you've read the entire thread again. Sometimes it'd be nicer if it'd just notify you for all new posts regardless of whether or not you've caught up with the thread, but this is the way XenForo has decided to set it up.