I'm not a pro, but these are my suggestion:
1) It depends on how much effects you wan to put in your amv. If every frame should be composed or whatever, than I would suggest to directly use After Effects. If, instead, you need just some parts, the best thing you can do is actually finish your video in Premiere without the effects and then open the premiere project with after effects. There should be a composition and some files. Double click on the composition and you will have your premiere timeline in the "after effects version" (which means a single layer for every clip etc.). Everything is still on sync as on premiere, but you can now add layers and effects as you want, without the need of rendering anything.
2) I would suggest two possible ways of compressing your video once finished. The first, and, imho, best, is making an mp4. You can find a guide for mp4 compression
here. The other way is making an avi - using XViD as the codec. The guide for compressing in XViD is located
here. Please, note that when you are compressing the xvid, you should remember to compress your audio and mix it to the encoded video track, as explained
here.
3) If you were asking about what to do to compress the video, the former answer I gave you should have already covered it. Just to be sure about it, from your video editor export as an avi (using huffyuv or lagarith as codec. if you really wish, you can export as uncompressed). You will not loose quality. The other things depend on the way you choose to compress.
4) I think that in the Adobe site you can find almost every plug-in ever made.
I would like to suggest you the Trapcode plug-ins, though, which I consider the best plug-ins for after effects. You have to buy them, but a demo is available (althought, with the demo, a watermark will appear). If you have other question about after effects, try to read the guide that zarxax made. It is a bit outdated, as it referrs to the version 6.5 and was made back in 2004, but I think that the most important things are still covered. Oh, in this guide there are also some links to suggested plug-ins. The guide is located
here.
Not sure if everything I said is right, so if you find mistakes, please correct them.