Why would the Illuminati build a self-destruct sequence that could destroy an entire planet if they were sending Hulk to a planet?
They didn't. It turned out that the explosion was a bomb planted by Red King loyalists in order to kill the Hulk.
I'm not a big reader of the Hulk comics but hopefully this question will be answered by someone who has in case I've just not read enough, but how does the Hulk maintain being, well, the Hulk? as far as I was aware he has to be angry (and conscious enough to be angry) but he never does turn back into banner (at least in the animated movie) how is this possible?
His secret is that he's always angry. No I'm being serious. It's implied that Green Scar was born when Hulk got angry at the Illuminati. In the comic, there's a scene where Banner briefly takes control again but gets forced by by the Hulk a second later. Much later in the story, Hulk and Banner were working together, thanks to the love of his (their?) queen.
For the animated movie (and possibly the comic book, as I haven't seen it). Caiera tries to rescue a little girl from the spike attacks, but the girl ends up disintegrating in her hands, presumably from the anti-Spike weapon. Caiera was holding the girl in her arms the whole time. How did the girl get hit but Caiera not?
Caiera was protected by the power of the oldstrong, which is the same power that allowed her to fight the spikes without being contaminated by them. Basically, she was immune to fire, but the child was not.
To elaborate further, Caiera's Oldstrong powers make her incredibly durable as well as super strong, comparable to the Hulk himself. It does not, however, extend a forcefield around those she's holding.
In the animated movie, Hulk is forced to fight Beta Ray Bill (in the comic book it's Silver Surfer, or so I've heard). My question is, when Hulk is about to kill him, why does the audience suddenly act horrified? They must have seen hundreds of gladioters slash, stab, and beat each other to death every day. What makes this instance so bad?
In the comic, the crowd isn't horrified, though a couple of the War Bound do try and talk Hulk down to little avail. One could reason that while they see many gladiators fight and die in the arena, due to the extreme durability of Bill and the massive strength of the Hulk, this particular beating went on longer than they were used to and carried them passed the adrenaline spike of "This is awesome!" to the point where they realized how fucked up it was.