The answer to both your questions is essentially personal preference. SCH 80 PVC is just darker and easier to hide in your tank, however it does cost more than the normal 40.
As for the bulkheads, dual-threaded ones let you screw in strainers on the watery side, and screw in PVC fittings on the outside. Slip bulkheads require you to use PVC cement to secure the plumbing, which ends up in a more permanent connection compared to the threaded option. I'm not a plumber, but I would wager to guess that if done properly, a cemented connection would be more secure than a threaded one. Even with lots of Teflon tape, a threaded connection still may have an opportunity to leak.
I hope this helps you out some.