1. yes. usually comes with remote cover (i think, never looked into it but i've seen them)
2. yes. the wii only supports up to 2 gigs though. not all game saves can be put on the SD card. i think mostly the ones that have online play CANNOT be copied. all the virtual console games and game saves can go onto the SD card but CANNOT be played from it. the game has to be a channel.
1. Do they make a clear glove to protect the nunchuk like the one the proviode for the wiimote?
No, there isn't a sleeve like the one Nintendo provides for the Wii Remote available for the Nunchuk. There are plenty of 3rd party silicone sleeves though (like the ones heymoe99 linked), but they all come in sets, and are not thick and cushy like the Nintendo one.
Also note (since you are asking about Gamecube game saves), that you can only play GC games with a GC controller.