Bug #2478 addresses this issue. I believe it's actually a problem with the DHCP serving on OS X (I haven't had much success in the past sharing wifi from my various Apple machines to any non-Apple machines).

Setting up a static IP on the N800 may or may not work for you. I don't recall what the default IP scheme for OS X's internet sharing is, though (I [i]think[i] it's a 10.x.x.x deal). A Google search will probably turn something up (if not specifically for maemo).

A2DP is what you need for the headphones. The answer right now is: Yes and No. There's a couple threads in these forums discussing the issue. A search for A2DP should bring them up for you.