I don't know what you already know, but I know that some of these things could be/are possible and they aren't in the current video.
I made these pictures a while ago, so some things might have changed.
http://img135.imagevenue.com/img.php?loc=loc24&image=d171f_DGH_secret_exit.JPG
This is not purely speculation (what the picture says). I have successfully walljumped up to door A after flying under those two pillars. With the rapid height gain glitch you can probably do it as the picture shows. Of course you will probably want to collect all the coins along the way too?
http://img140.imagevenue.com/img.php?loc=loc24&image=th_b5910_down_slant.JPG
I don't know who discovered the fly through wall trick, but maybe it works on downward slants too? I have never been able to produce it, but I am limited by reflex and skill. I am sure you probably already tried this though...
http://img137.imagevenue.com/img.php?loc=loc24&image=e6637_DS1_both_exit.JPG
Ignore everything about which turtle to grab. The green lettering under the key explains the picture I hope. Swimming under the key exit should be faster because you don't have to throw the shell and then grab it again several times to gain altitude. Unless I missed something that wastes frames?
http://img125.imagevenue.com/img.php?loc=loc24&image=ba717_under_lava.JPG
This one explains itself. Please forgive my lack of knowledge on this kind of thing (poor terminology is because I don't know the proper terms, for example: I don't know what a sprite is). Also, after playing through the game again I realized The lava (this picture is from Wendy's Castle) does not show up onscreen below the black line drawn in the lava. However, I saw in the SDW 100% at 51ish minutes (iirc) it is possible to fly completely under the screen w/o coming up back to be visible. The basic question is whether or not it is possible to fly under lava.
http://img143.imagevenue.com/img.php?loc=loc24&image=05c70_VD1_last_half.JPG
I have confirmed this. I don't know where to come up from under the ground though. It should be faster because unless the picture is out of proportion (which it could be, but I doubt it) then you would be flying the whole time you would otherwise have 2 pipe entrances and 2 times you have to work the p-run back up. IDK where to come up because flying under the screen is hard to say the least.
http://img143.imagevenue.com/img.php?loc=loc24&image=27f58_VD2_fly_explain.JPG
This should be possible, but I have never been able to pull it off. The picture explains itself mostly. Here's another picture of that level:
http://img144.imagevenue.com/img.php?loc=loc24&image=47b27_VD2_both_exit.JPG
for both exits.
If those don't work, try this:
http://img21.imagevenue.com/img.php?loc=loc178&image=b31e6_SMW_help_VD2.JPG
http://img128.imagevenue.com/img.php?loc=loc24&image=9ab45_VoB4_reg_exit.JPG
If this is possible then it could also be used to do the key exit. Simply grab the key from underneath (gain altitude by flying back and forth in place) and then use the jump_grab key glitch up the pillar on the right of the key hole and put the key in through the wall. This should work, but I wouldn't know for sure.
http://img24.imagevenue.com/img.php?loc=loc24&image=676f8_Wendy_s.JPG
You might be able to do something with this. Then you wouldn't have to wait for those spike things.
I am glad to see that you are going to come back for YI1 and Yellow Palace later, that had always irked me. These pictures were for me and a friend at SDA to discuss SMW, and were created a while ago.
Another thing I have been thinking about since I saw Mario swim through a wall by grabbing an item.
http://img108.imagevenue.com/img.php?loc=loc264&image=4f6c7_FOI2_both_exit.JPG
If this is possible there are probably other applications. If any of these types of possibilities have been mentioned in the SDW thread, sorry I don't read it.
Another thing, in YI2 the 10:36 run has the 2 one-ups in the very beginning. I don't know what this does to frame-count (although I do know it would decrease your points) but it is possible to get 5 one-ups using that first shell. That is what I do in my small mario run I am working on for SDA. Again, if you knew this I am sorry, just trying to help. Although it might not "look as cool" or however you would rate whether or not to put it in because then you couldn't use the shell to kill all those moles and football players.
Thanks to Stefan Mahrla for the level maps.