Hi Per,
As it so happens, I was looking at this kind of thing last night. I didn't get very far with it because I had to do some other bits. YUI actually has a module for this called Pjax (http://yuilibrary.com/yui/docs/api/classes/Pjax.html).
I believe tha it also addresses the first drawback that you mention.
It's certainly something we could consider, but at present it won't work well with the way that we do things. As an example, we would have to replace the entire <body> tag and all of it's children, so we don't actually remove much on the whole at present.
I think it would be interesting to try and look at this in more isolated instances though. One place I'm currently looking at this kind of thing is for expanding course categories on the front page as part of the course category rewrite. I'm not using Pjax for this though - I'm using Y.io and a node replacement.
I'm not entirely sure what you mean with your last question... Moodle utilises the YUI loader, so just putting a script tag in your code with appropriate loader syntax will load any dependencies, and then execute your code. I would think that this will be done by the browser as it loads the DOM...
Andrew