Wow. Lots to answer.
1. get the 2 extra controllers. Also consider getting 2 extra nunchucks.
2. sensor bar comes with it... its how wii magic works lol.
3. I just bought the most expensive rechargable AA batteries I could find. They do the job and last forever.
4. definately get the component cables. You will thank yourself.
5. i THINK you can get piggyback like cables, not 110% sure, last I tried I had my cables connected into an 'L and R into earphone-like' input that plugged into my Logitech speakers... sounded unreal in all the good ways.
6. You just need a wireless router, then enter the router's settings into the Wii Wireless menu.
-Wii Sports is excellent for adults, Wii Play is free too so I spose i can recommend that.
-Consider Rayman Raving Rabbids, and upcoming Mario and Sonic at the Olympics for kids.
-Guitar Hero3 and Mario Galaxy (out soon), consider SSX Blur, I still love that game after 1/2 a year. Zelda isnt an MMORPG, its hardly an RPG either...get it lol, you dont level up as such, but you get new weapons/more health overtime, its more Adventure really...
All your choices really man, see what is out their, keep reading the forums and have a chat in some of the 'Gaming' areas, and you will learn much info haha.