ntdll.dll files Do I need them?

Yes and in some cases no as some are in software distribution which is the Windows Updates files, but removing these will stop you from uninstalling the update that was applicable to that file, so in the event you have issues with an update you wont be able to remove it as the uninstallers are in that distribution file. You may also loose your Windows Update History list, if you start deleting items from that folder, so worth leaving alone.

the NT Kernel, in essence the core kernel of Windows, remove the wrong ones and one has "no booto PC" so never worth messing with system files, especially ones that are listed in system32 or dllcache

This is a good writeup thats not a mind blowing technet article http://en.wikibooks.org/wiki/Windows_Programming/Windows_System_Architecture

Yes but see earlier answers, for the size they take up I would not remove any

The uppercase ones are in the original files location to your Windows install, in the i386 folders, this have copies of the disk files for use with sfc etc

Because some are udpates to previous version of those files, its the same that you see when say CCleaner updates, the size of the exe is slightly different.