http://www.techpowerup.com/reviews/Intel/Ivy_Bridge_PCI-Express_Scaling/6.html
Depends on how long you plan to keep that SB system, and whether you will SLI with more powerful GPUs in the future, because X4 2.0 already causes some FPS...
VRM is what provides power to your CPU right after PSU. It converts 12V to 0.9-1.8V. DC-DC.
I haven't seen Thunderbolt sold separately but it runs on PCI-E. So if it's available one day, you can buy it, but atm it's pointless for majority.
It's marketing. It's like Ultra Durable branding from Gigabyte, but unlike Gigabyte's, MSI's branding is not really consistent.
In the end you need to look at a particular board, and atm it's not completely known what they really use in...
OC is designed for LN2 benching. It has very useful OC touch functionality for setting world records. For general use, they would OC about the same, except OC is better for base clocks.
UD4H offers more features for general use though....
Out of these 3 you listed, only UD3H has an amp. I think Gigabyte Z87 UD boards all have it. MSI Z87 Gaming boards do to. Also some of the ASRock boards, and Asus ROG (except Extreme?) also have it. Not sure how they compare though.
Then you shouldn't have any issues figuring out what headphone amp is . The sound needs to be amplified either way. Whether you're recording it, or playing it.
In fact it's always amplified; otherwise, there would be no sound. A...