Bumpmaps: Open one up in Guerilla, you'll see a button to show the bitmap, cick on that, you'll see a drop down box about alpha channels, look at that for an example.

UVWs: UVW map is the simple version, just play around with the settings till it looks right. If not, look up a tutorial on UVW Unwrap. That is the sort of plane by plane texturing you meant.

Animations: Specify more? If you mean cutscene like animations, I don't think recorded animations work. If you mean vehicle animations in general, learn how to animate something using one of those elevator tutorials, however for a complete breakdown of commonly needed animations for them, look through this sections stickies, theres a bunch of lists in one of them.

When I get a computer capable of running CE/Max, I'll see what I can do about making some tutorials in my spare time. Probably wouldn't happen until Christmas time or so.

Search like everyone:
http://hce.halomaps.org/index.cfm?search=bump+mapping+tutorial

AFAIK, to create a world relative animation, you import the BSP and the object you wish to animate. Then, you animate the object, and export it as a .JMW. The position of the object in the BSP should then be preserved.

The first one in there by Crowpath is how I learned. Everything you need is in there, so I would recommend that one.