1. Facebook uses BlackBerry data, so until you can get your BlackBerry data plan associated with your 8330 you won't be able to use it. To find the app, look in either your Downloads folder or in the Social Networking folder. If you find it there, you can use the Menu (BlackBerry) key to select "Move to Folder" and choose Home.
2. You can delete the service books in Options > Advanced Options > Service Books to get rid of the old user's accounts. Unfortunately, the only way to get the PIN released so you can set up your own emails with your own BlackBerry data plan is to have the previous owner contact Sprint and get it released. Check this out: Buying a BlackBerry off eBay - BlackBerryFAQ
3. Many of those unwanted apps are merely links to download the real application. Often these are pushed onto your BB by Sprint, so if you delete them they will just come back when Sprint pushes them back onto your device. Best to just hide them. Place the cursor over one to highlight it but don't click on it. Then use the Menu key and select "Hide". It will vanish until you bring it back. If you hide an icon you can always bring it back later.
4. Yup, this is the default. Threaded messaging is available with aftermarket apps and maybe in some later version of the OS. For the 8330 it's not available now.