Hi
It does have a headphone jack but it's audio only, as far as I'm aware.
babyj is correct. The video connection they had for the keynote was a modified iPhone with a "special board" so that they could show what's on the phone on the big screen, Jobs said it himself.
It does, and one would think that this would work just fine. But I will say I agree with those that the cable shown during the keynote certainly looked like a hack job.
The iPhone in the presentation had a special board that Steve said was there to give "digital video" to the projector - I'd imagine so that the quality was exactly like what was on the screen - Apple's keynote slides are projected in high definition, a regular composite or SVideo output wouldn't look so good at that size.
I would be very surprised if it didn't have A/V out like the iPod does.