Okay, here's the spoiler-riffic versions:

1. The giant underground complex. If you're going to eliminate the humans every century or so anyway, it makes sense to give them a good place to hang out so that they're easy to find. I mean, the characters never even wonder about how the Matrix found Zion, even though in the first movie its location was all top-secret. There could be dozens of these complexes all over earth; old abandoned manufacturing facilities the Matrix no longer needs, perhaps.
2. The dance scene: no spoilers needed.
3. I'm still wondering if "you're my idol" boy is a setup for something—for instance, if that other fellow who was rescued at the end is a red herring, and the boy is actually the agent-in-disguise. Of course, he could be a red herring himself; depends on how clever the Wachowskis were feeling.
4. Oh, come on. All of those speeches were, among other things, setup for the big-ass plot twist at the end. Choice being an illusion? Shades of Minority Report and other Philip Dick stories in there.
5. Alternatively, the Matrix giveth and the Matrix taketh away; Neo's abilities are deliberately provided, then hampered to pull his strings just so, to take him where he needs to be. Or possibly a combination of the two (my own personal theory).