Your questions are very valuable for even the most experienced (not myself) cappers to remember from time to time. I think the most common thing any hockey handicapper will tell you is that there is much less definitive results in hockey compared to a sport like basketball. For example, in basketball you have the Cavs playing the Knicks. The question isn't who is going to win, it is how much is Cleveland going to win by? In hockey you will rarely if ever find a ML higher than -350 in the NHL. Answering your questions...
1) Penalties are typically 2 minutes apiece. Teams normally play 5v5 + a goalie over a 60 minute game. A 2 minute penalty could be for any infraction like tripping, high sticking, interference, holding, roughing, elbowing, cross-checking, slashing etc. etc. When a player gets a 2 minute minor they sit in the penalty box for the 2 minutes, hence it is 5v4. If the team on the powerplay scores against the team with the penalty (only 4 players on the ice) then no matter how much time has expired in the penalty the player in the box is allowed back on the ice and the teams play 5v5 again. Some penalities can be 4 minutes (drawing blood from a high-stick) or 5 minute misconducts (very rare). If 2 players fight, both players sit in the box for 5 minutes but the teams still play 5v5. If one of those players gets an extra penalty (ie instigating the fight) then for 2 minutes a player who was on the ice has to take that penalty for the player who is already in for 5 minutes... hence 5v4 for 2 minutes. What you want to look at in regards to penalties is the PP% (powerplay percentage -- how many times you score per each 2 minutes you have of a man advantage -- other team playing with 4 players), PK% (penalty kill percentage -- how many times your opponent scores every 2 minutes you have a player in the penalty box) and the number of penalties conceeded per game. Don't look at penalty minutes per game because if you have a player in a fight and they sit for 5 minutes that is counted in this number even though your team is not shorthanded..... so only look at number of 2 minute penalties per game.
So to put this in perspective. If 2 teams are playing, team A has a PP% of 25%. Team B has a PK% of only 60%. This means that Team A scores once in every 4 powerplays and team B allows 2 goals for every 5 penalties they have. This means Team A will likely score on the Powerplay playing Team B.
2) The difference between Goal line and ML is difficult to describe. The NHL, like all other sports, is pretty unpredictable..... you also have to remember that there's a ML for regulation ( you can pick a tie for the game to go into OT) as well as the ML for OT included. You can find value in this by seeing what teams suck in OT. The Leafs and Lightning are 2 of them. I don't remember their exact numbers, but the Leafs have probably 11 OT losses and only about 2 OT wins. So if you're going to play the Leafs ML, you may as well play them to win in regulation as their OT percentage is atrocious. Typically the difference would be something like -160 for the Leafs ML with OT, and about +105 for the Leafs to win in regulation. Other teams are great in OT so take their ML with OT.
For some reason you will most often see the visiting team lose by only 1 goal compared to a home team losing. There is a system out there that plays with a chase. It works by selecting teams who are going on a 3 game or more roadtrip, and it will play them as either +1.5 dogs or the ML if their PL is -1.5. I don't know how it's doing this season, but has been profitable over the past 3 seasons.
3) Stats can tell you whatever you want to look for. You can find things that can tell any and everything you want to hear. Home ice advantage is important (but lines are always adjusted for this). If you look at the odds you rarely see visitors as favs. Tonight's lineup is 12 games where 10 have odds out at Pinnacle. Of these 8 home teams are favoured. Although you look at the teams records in these 10 games and in 5 of them the visiting team has a higher win percentage.
When you find a home team at -130 or so that usually means both teams are fairly evenly matched on any neutral surface (which only a few games at the start of the season are played in Europe) but the line is adjusted for home ice advantage. Other than the basic wins, home/away records i would look towards penalty/pp/pk, a goaltender's GAA and shots per game. Something many NHL cappers is look at the pk, pp, gaa in the past 5 games and rely on the past 5 games as a huge basis in their decision.
4) I guess I already answered this in question 2
I hope this gives you some idea in your thinking. A few NHL cappers to look at are dennisgreen and watertight. Learn from them and grow from there. Play only a couple games a night that you feel most confident with and go from there.