1: The Frozen Veil is optional, but there's a tough boss with a Health Upgrade in it.
Climbing walls is tricky, but done by 'grabbing' on to a wall by jumping at it, then immediatly jumping off again to a higher point. It's tricky, but there's various food items that make it a bit easier (Swim faster = Jump Higher)
2: The Giant Whale needs to be sung to in order to do anything with. You'll need to find a whale song in order to do this ( There's a Map of the Game somewhere on this forum with the location...)
3: The Purple thing guards the entrance to the final location of the game, while the Strange Symbol Door is the entrance to the 2nd last location in the game. If you've already been everywhere else, you might want to try and find some help opening the door, and your best bet is to check the surface (The Veil) for any signs of life that isn't a turtle or a dolphin...