Noise, conversations. ? might mean they heard something (e.g. conversation, unskilled sneaking person.)
Blue ! means terrified/demoralized. It's effected by the new discipline skill. They should start fleeing (or freeze in horror if it was caused by seeing a dead body.)
IDK what causes green movement arrows over characters to appear. Observation skill, maybe? There are also red ones that appear when an enemy is performing an attack, meaning you can perform a manual block, etc. The movement indicator in the bottom UI appears whenever you're moving at a pace faster than walking.
It depends on race, target, and direction of wind. Anybody should be able to smell a raised corpse from down wind. I don't think it works on items, and it won't work if your SMELL_TRIGGER isn't lower than the target's ODOR_LEVEL. Only these creatures can smell:
Elf/Gremlin - [SMELL_TRIGGER:10]
Kobold - [SMELL_TRIGGER:25]
Goblin - [SMELL_TRIGGER:50]
Dwarf/Human - [SMELL_TRIGGER:90]
Apparently elves are the best at smelling. (You're damn right they smell. Filthy hippies.)
ODOR_LEVEL doesn't seemed to be defined for a lot of creatures yet. Only these are smellable:
Mud man/Fire Imp - [ODOR_LEVEL:90]
Blood Man/Fire Man/Fire Snake - [ODOR_LEVEL:50] (Humans/Dwarves can't smell these.)
You could try modding the tags in to other creatures.