If you want the main advantages of Knoppix, I'd say that the number one advantage is that you can take it with you anywhere and run it on whatever system you need to, without touching its hard disk. The number of apps that are included with Knoppix are a big bonus.

If you mean the main advantages of Linux, rather than specifically Knoppix, then that's a different matter entirely :P. For some people the main advantage is that it's secure. Other's because it's stable. Some people prefer it simply because it's free

I assume you're running Knoppix off the CD. If this is the case, then that's likely to be the reason for a lot of the slowness you are experiencing. The speed at which everything loads is limited by the speed of your CD drive. Obviously it's much slower to load stuff off a CD than off a hard disk. Therefore, if you do a hdd install you'll find the speed problems go away (assuming you've got a computer of any reasonable amount of power).

The best way to find out which applications you find user-friendly, is to try them out. Just take some time to go through the menu looking at various different programs, and deciding which you like best.

If you're used to Windows and your idea of user-friendly requires an app to behave like something in Windows, then you might find that a lot of the apps in Linux don't feel 100% user-friendly at first. Believe me though, it's all just a matter of getting used to the little differences. For example, I kept on double clicking the title bars of apps to maximise them at first. It took me a while to get used to the fact that doing this in KDE shades the window by default. If you want to make KDE behave more like Windows though, it's not hard.

In the menu, go to 'Settings', then 'Control Center'. In there you can make a lot of customisations, including things like altering the behaviour of windows and your desktop.

As for your problem of not being able to find the quit button in some games, I can't say I've noticed that problem. As far as I can remember, all of the apps exit either via a 'Quit' option in the game's menu, by clicking the 'x' in the top-right corner of the window, or by pressing <esc>.

Just spend time playing around and eventually you'll become used to it all