Select the game you want to play, at the BIOS/HLE menu, make your Graphics/CPU changes. Everytime you run the game thereafter, it will use those settings you put there by default. Each game has its own settings saved so you don't need to muck with them again after you have something that works. So that request is already done.
Favorites names with paths - I'll put in an option where you can either view the entire path as the favorite or just the filename. You can call your filename whatever you feel would be most descriptive.
Command-line options are also already implemented but not via command-line. They are custom launch parameters. This must be controlled by the front-ends and dashboards that call PCSXBOX.XBE. I've included source code in PCSXBOX v4 so that frontend/dashboard developers can include support for this feature.