yes, the USB usually works better with a thumbdrive/USB stick than it does through the usb-to-phone cable because that only works when the phone is in "upload" mode... varies by phone of course
AUX port requires a male-to-male aux cord, they're cheap on ebay, get a long one if you have kids or frequently have other rear seat passengers and want to be a real chill cool dude about it
Bluetooth requires pairing a phone with the car. Typically you press and hold something on the radio and that activates pairing mode for 30 seconds that allows a phone which is scanning the bluetooth channels at the time to pair with it. Some of them require you to enter a passcode on the car radio at the same time as on the phone so that in those 30 seconds some stranger doesn't connect to your car. A warning against bluetooth though. If you have your phone paired with your car, and you car is in range even if it's sitting on the driveway, whatever you are doing on your phone will play to your car unless you manually unpair it every time. Also if you receive a call in the car, it will automatically go on loudspeaker within the car and people in the car can hear your conversation. Some of them are so loud (BMW are guilty of this) that I can hear people's conversations over their bluetooth loudspeaker while overtaking them on the motorway.
Sure, on USB, bluetooth and aux.
On mine I have an issue with the USB, if I turn off the car, lock it and return after and the radio starts on USB, 75% of the time the volume knob and all media functions will be locked. I would have to press the normal fm radio, turn the key off, wait for 2-3 minutes to go into the sleep model where the logo must re-appear when starting the unit and then everything would go back to normal.
Had this issue since day one, went to the dealer 5 years ago I think to have it sorted but they were useless... hence I simply press the fm button everytime I get off. It became a habit like turning off the lights at night, it does not bother me any more. Much better to press a button than see the idiot dealer electrician/mechanics without any knowledge on how to actually sort stuff.
I believe most of them are there for a job and not actual passion and love for the brand, hence their knowledge is very limited, with no will to learn.
FYI, the usb must be of 32GB max size, formated in the fat32 format, otherwise will not be recornized.
A small addition to the previous's owner comment, the blutooth speach is indeed loud, however the mic fitted on the car is extremely good.
Making phone calls through it is an amazing joy, people can hear you clear and vice versa. Still, everything might beep on the speakers as you go along, but once used to it, is extremely good.
As for the private conversations, when phone rings, do not answer from the radio module/steering wheel controld, but from the phone, using the Answer through earpiece option. Most newish Android OS/iOS should have this option.