1) Yes, it can play your music files on a MMC card. You will need to use an audio player which will come with the Zire 72. If you need more features than the bundled MP3 player, check out our review of 3 popular audio players. You can use the Zire for other tasks while playing the MP3 in the background.
2) Bluetooth is very stable. SMS, email and surfing all work well via BT to a cellphone as long as you have the data plan with your cellphone carrier. Bluetooth's range is 30 feet. Some dongles work well, others give trouble to folks. This one works well with all the PDAs we've tested with.
3) SD cards are certainly faster than the MMC. It's also got security features and has higher capacity than MMC. Read the SD card reviews on this page (links on the left nav-bar)