Welcome! You have come to the right place and I have alot info stored in my head. But searching will be alot easier and you can gather ALL the information you need. But since you are new, I will briefly answer a few of your questions.
Timing advance is very good free mod, probably 5-7whp. Should be @ 15* factory setting, you can bump it up to 18-19* as long as you run 91 or higher octane.
Not many common problems with the motor in general, just keep the oil changed religiously and @ proper level and the DE will last forever, if it hasn't already been abused. I would go with a full out tune up, since you have no idea how the previous owner took care of the car, plugs, distributor cap/rotor button, fuel filter. The timing chain tensioner could possibly need changing depending on mileage. A cold start up and you hear the chain rattle until pressure is built, then it needs replacing. Maybe the valve cover gasket to, does it leak?
95-97 tranny from 200sx se-r, 5th gear pop was not an issue. 91-94 se-r's have LSD, some 200sx's don't.
Most JDM motors don't have all that emissions crap like EGR, JDM SR20DET is either a bluebird, Avenir or GTiR. Bluebird 8:5:1 compression, T25, 370inj, Top mount Intercooler. Avenir is similar to the bluebird except it is newer, doesn't come with a TMIC, FMIC must be purchased, Ball Bearing T25. GTiR, whole different animal and more complicated to tune and find parts for. T28, 444inj, huge TMIC, quad throttle bodies and 8:3:1 compression ratio. All SR20DET's come with piston oil squirters as well. USDM SR20DE, 9:5:1 compression, no piston oil squirters, emissions is a definate.
You are comparing a light sentra to a heavy talon, therefore power to weight is completely different. The swap is pretty straight forward, but will cost anywhere from 3-5K depending on who completes the swap. Sounds like you need to do alot more research before you jump in with both feet. Gotta crawl before you can walk.
Here's a good start:
http://nicoclub.com/zerothread?id=40393You should browse and search alot in the SR forum(transverse section)
Happy searching!!