I'll give it a shot.
1) Why do we cross ourselves before bowing when we venerate icons (or when we bow in general)?
Because they are holy, and because they are images of Christ. And because the old Russian ladies will beat you if you don't.
2) Is it necessary to have icons blessed? In some traditions things seem to be seen as blessed by use, but in others intentional blessing by a priest seems to be necessary (and then there's the question of 40 days in the altar vs. a quick sprinkling with holy water!). Only a couple of my icons have been blessed, and it happened "incidentally" when our house was blessed at theophany.
There is some question as to what must be done, and as you've said, it seems to vary from parish to parish. My priest recommends that all icons be blessed and remain behind the altar for one Liturgy at least. I've followed this practice with all of my icons.
3) What do you think about when you are venerating an icon? Mostly I seem to pray that I'll understand something about icons beyond what I intellectually know (that what is done to them is done to their prototype; that they are "windows" to heaven). My head gives its assent; my heart agrees, but I seem to lack conviction.
I pray while venerating them. For a Saint, I will pray, "Holy (name), pray for us." For the Theotokos, I will pray, "Most Holy Theotokos, save us." For Christ, I will pray the Jesus Prayer. I'm not sure there's a rule for what you must pray or think about, but this has been my practice.