i have plenty of experience with plexi....here's what i have to offer:
cutting: DO NOT USE THE HOBBY GRADE CRAP. IMO the best to work with is the duraplex from lowes. it's relativly inexpensive (22"x18" section costs about $12) and it's very forgiving (unlike the hobby grade stuff from home depot)
Cutting:
1. Jig saw - fastest (though least accurate way especially with the 1/4" glass) I like to use a sharpie marker to mark the protective layer. Then I turn the plexi over and cut from the bottom side so i can see the line without smearing it. Make sure to use "smooth cut" (if applicable) and the thinnest blade possible. (i like to use the thin wood blade)
2. dremel - this is best for small cuts because of the high rotational speed. I use the cutoff discs and try to keep it below 10K RPM. While the dremel is very accurate, the high speed of the wheel tends to melt the plexi causing not only a foul oder but also welding the plexi behind the cut (making your cut dirty and somtimes still in one piece)
3. Hack saw - when plexi is very fragile and power tools won't work, the hack saw blade can be used lightly to cut streight lines.
Drilling:
some of you have noticed that plexi doesn't react well to being drilled especially with large bits. I highly reccomend using a drill press in this instance if it's avalible or if you're dealing with fragile pieces, i use a woodburner with a pointed tip to melt a hole in the plexi. It will smell like no other but is garrunteed not to crack the plexi. To make the hole larger, you can either continue melting in a circular pattern or use a dremel with a sanding tip.
sanding: hand sanding is the best unless you're trying to cover a large surface then use an orbital. I try to stay away from reciprocating sanders.
etching: most people like to use a dremel for etching. I prefer using an engraver simply because it's more managable. You can also use a woodburner for this to make some pretty cool effects.