1. Is there a way to make demos all download at the same time or does it have to be in a queue?
2. Is it bad if the green and/or orange light blink constantly?
3. Whats the best way to get themes/wallpapers?
1. It's been awhile since I downloaded something from PSN Store but IIRC you can't. It's not that bad though, the bandwidth would be shared meaning that it would take a lot more time to get even one demo downloaded.
2. They are HD and LAN lights. HD light blinks when the HD is accessed (mostly when loading/saving etc) and the LAN light is blinking when gaming online for example. Nothing bad about them.
3. PSN Store is one but most of them are premium so you got to pay. Take a look at various 3rd party themes. Just go to their website with PS3's browser and download a theme. Wallies you can get from anywhere and use e.g. a memory stick to transfer them.
If you're downloading several items but want one first (and it's not the active download) you can manually pause all downloads and force resume the one you want. Do this from the XMB.