Yeah I don't know that the memory slots filled first really matters but I have seen the opposite reported and that the blues are running faster. Probably just goes to further that it makes no difference and results will vary. Blink, I did double check just so you didn't think I was blowing smoke and if you look in the P4P800's manual (newest english version anyway) the last line (#8) in section 2-11 says the blues are recommended.
I can comment on your other questions Blink but I may not have as much information as some others on this board.
1. I would recommend updating your bios. With that said, personally I do not use beta versions but others will take that chance. You will often tend to get more stability and options by updating your bios. I would also recommend going through the entire sequence of bios versions instead of skipping to the latest. Go through them all once and then if you ever have to reflash because you have a corrupt bios I would just flash the latest version that is usable from a corrupt bios.
2. When your machine posts (starts up and reports), you will see a dual channel message just before it reports the total amount of memory you have. If you do not see this message because it is happening too quickly, you can go into your bios and under the boot options (I think that is where it is if I remember correctly) there is an option to disable the asus splash screen. I would recommend doing this because it gives you a longer look at your post. If you still don't see the dual channel message, I would recommend first checking all of your important bios settings and making note of what they are. Then I would suggest going into the bios and hitting 'f5' to reset your bios to defaults. I have lost the dual channel message several times through overclocking or playing with my bios settings to the extreme. Everytime, reseting bios defaults has brought back the dual channel message. Then you can go on to 'tweak' you bios.
3. I am not sure on how to check for the agp8 status but someone else may be able to help you. My best guess would be to download a free copy of Sisoft's Sandra software as it has diagnostics that can tell you things you never ever knew about your computer. Believe me, it has EVERYTHING you can imagine. That program should tell you what your graphics card is running at.
4. One of the best places to check on corsair voltage settings for particular corsair memory is in the corsair forums under 'compatibility questions'. I know some of their memory for the Asus P4p800 has been recommended to be set at 2.75v. I run my corsair 3700 at this manually set voltage as advised by Ram Guy (corsair rep) but I am not 100% positive about the 3200's so you may double check on that forum.
5. As far as what else. You can try to overclock if you are comfortable with doing so. It can be a risk if not done correctly. Generally the simple way to begin is to manually increase the front side bus (fsb) above the standard settings for your chip (200 for the current p4's). I would advise reading up on everything involved with overclocking though since it almost an art form unto itself with many high end overclockers. If your system is up and running though, you are doing well already! If you want to know more about what your bios settings are then check out the optimization guide at this site
http://www.rojakpot.com/
Good luck!