Unlike Ubuntu/Nautilus, I'm sure Apple (rightly) assumes the average Finder user will have no need for SSH/SFTP connection support built-in to the GUI.
Not nativly no. But there is MacFUSE, and I belive they have a "sshfs" plugin that could provide you with much the same behavior. You should be able to find what you need with that information.
Yes, because for normal office users there might be a mixed Windows/Mac environment and thus, accessing Samba shares is pretty common. I know that Samba and NFS can be connected to via Finder, for sure.