[Windows Phone 7 Development and Hacking] GoodDayToDie:
Marketplace -> HTC Apps -> Connected Media. It's free. If your phone is up to date, it should work just fine. The update that allows this app to work was rolled out months ago, around the public release of Mango.

For dev-unlock, I personally just have an AppHub developer account (http://create.msdn.com) which allows publishing apps on the official marketplace. It costs money every year, though. If you don't need that, ChevronWP7 Labs (http://labs.chevronwp7.com) unlocks are cheap. If you're a student, you can get a free AppHub account through Dreamspark (http://dreamspark.com).

For interop-unlock, try the XAP posted by Heathcliff74 in the sticky thread on the subject. Most people are reporting that it works. Of course, you need to have dev-unlock first (and need to have Connection Setup, also from HTC Apps in the Marketplace). If it doesn't work for you, read the comments and troubleshooting steps posted by other users.

There are some very useful apps available if your phone is dev-unlocked. Even without interop-unlock, you can have things like a percentage-based battery indicator or a screenshot tool. With interop-unlock, you can edit the registry (this enables all sorts of tweaks), move files around, and use USB tethering (though if you have all the TMO-US updates you should also have wireless Internet Sharing enabled now).

WP7 does still use CAB files, but they're used for system updates, not for individual apps. Apps are packaged in XAP files, which are simple ZIP files with a few required contained files (manifests and such), the app binaries (DLLs, which are loaded into an executable called TaskHost.exe on the phone), and app resources. The XAP extension can be changed to ZIP or an archive program like 7-Zip can open the XAP file directly. Apps packaged in XAPs are installed to a special sandboxed location on the filesystem, and can only access their install directory (read-only), \Windows (read-only), and their data directory (read-write, unique per app).

If you feel like you're missing an update, you can find the CAB files for nearly all official updates on Heathcliff74's CAB updates thread. You can send these to your phone using a CAB sender tool. Note that you must make sure that the correct CABs are sent; a phone which has parts of some updates but not all of them, or which has skipped an update, will not be able to install future updates using the official method and may not work correctly at all.

Now as for custom ROMs, I can only help you a little there - I focus on the stock ROM. However, there are a few things to be aware of.

1) If your phone has an SPL (bootloader) version that begins with a 5, you'll need a little bit of extra hardware to unlock the bootloader. It's not very expensive but it does take a bit of time.

2) If you phone has a SPL version that begins with a 4, you can't use a custom ROM as-is but can downgrade the SPL by sending a special CAB update or restoring a backup taken before the upgrade the 4.x SPL.

3) Read the thread on RSPL/HSPL before deciding whether you want to mess with custom ROMs. There's a potential to mess up your phone. Additionally, you'll need to restore the official SPL and ROM if you want to get the phone serviced.

4) Take a look on the HD7-specific forum to see what features the various custom ROMs are offering. Some of them are pretty cool, but they may also have bugs or limitations. I've yet to see any groundbreaking "must-have" features in a custom ROM, but your definition of "must-have" is likely different from mine.