You will need to purchase all modules seperately.
A BT mic and BT dongle will need to be purchased for BT support.
An XM radio reciever and antenn, along with the converter cable will be needed for XM support.
A back-up camera will need to be purchased for back-up camera support.
If you want to hook up to an amplifier, chances are you will need a USB sound card to do so.
Regarding changing hard drives. I'm sure it's possible, but it will void any warranty the unit has as you will have to take apart the unit to get to it.
An external hard drive is feasable as far as I know.