The other thing to consider about anti-freeze is the anti-corrosive/lubrication properties it creates in the engine. A straight water fill WILL tend to cool better, absolutely! However, corrosion and water pump failure occur more easily. I also just use tap water. I change my anti-freeze (with a chemical flush) every second year here in the "Great White (Frozen) North" so I don't worry about scaling or deposits that MAY occur with cheapo tap water.
The generic "Prestone" anti-freeze is typical glycol based. In my experience, the only fluid NOT compatible with a typical glycol "off the shelf" brand is GM's Dex-cool (red) anti-freeze. However this may have changed and GM may not use dex-cool anylonger, I'm not sure...
BMW/Audi have blue, Toyota is red (but not dex-cool) and Honda uses(used) a green fluid, but they all have the same compatible base. (Just as an example). Color I believe is just a manufactures way of distinguishing between their own fluids.
In BMW land (where I work and play), the green power-steering/hydraulic fluid is made by Pentosin and is actually a mineral oil type of fluid. It has some different properties specifically for hydraulic suspension components and certain BMW steering gears. It is totally incompatible with a regular ATF (dexron) fluid. AFAIK, Audi and Mercedes use this fluid as well, I'm just not sure which variant as there are several.
Also, as Islamatron mentioned, DOT3 and DOT4 brake fluids are compatible but have different properties. DOT4 has a higher boiling point than the DOT3 which is better for higher performance braking situations. I don't remember off hand, but I believe DOT5 is a racing fluid only and is incompatible with 3 or 4...
With engine oils, all are not created equal and some engines are actually designed with certain oils in mind. Take VW's TDI engines... they can have chronic EGR and Injector issues if the incorrect oil is used. The same goes for the BMW diesel engines. Sure, you can use any old oil designed for a diesel, but issues are much more apparent when not using the OE recommended brand. Some manufactures will always give you a list of suitable "second choices", others will just give you a list of requirements or specifications that an oil must meet. Manufactures (in America and Canada anyways) are not allowed to deny warranty if you do not use their "brand" of oil. That is why there are said specifications an oil needs to meet, so you can go and buy the Mobil-1 or Amsoil equivalent.
I have actually seen warranty being denied because of an oil being used that does not meet the requirements and specifications set forth by the manufacturer.
Again, as Islamatron says, generally heavier filters have more filtering material in them. Generally, not always
I stick with the Amsoil personally on my classic car, but use the stock Toyota ceramic filters on my daily driver. As with Islamatron, I've also seen horrific things with Fram oil filters. They are generally regarded as the cheapest and easiest, not the best. Then again, I've seen horrible things with the BMW canister filters as well. As long as you stick to a short interval (none of that european 25000km crap) the brand of filter shouldn't really matter as long as you change your oil regularly and with a quality oil.
There, my 2 cents to this interesting topic