2. Those words (and word combinations) are called "subordinate conjunctions" ("подчинительные союзы") and they are plenty in Russian as well as in English and German. More or less complete list see here for example.

1. Replacing SC "что" by "как" sometimes can give complete equivalent, sometimes can give a slight difference and sometimes can provide completely different sense or can be just impossible. The variety of situations where one can use those conjunctions is really vast so it is hardly possible to cover all situations with several examples.

Я думаю, что мы должны пойти в парк. - I think, THAT we should go to the park.
Я думаю, как мы должны пойти в парк. - I think ABOUT THE WAY we should go to the park.

3. Comma between clauses is mandatory in Russian. Missing comma means a punctuation mistake. Though the situation when missing comma between clauses leads to the change of meaning is rather rare.