I would say they are roughly equivalent and it just depends on the context.

Me llamo is more common. This is partly because "nombre" really means "first name" so it sounds a bit odd to say something that is the equivalent of "my first name is _____ "

"lo que" is usually translated as "what." sometimes if it is at the beginning or end of a sentence it would need to be translated as something else to be grammatically correct.

will go = irá will be going = estará yendo

he/it came back like nothing had happened.

most people probably say "I'm exhausted".

In your examples we do not use the subjunctive in English so just translate it like a regular use of "to be". There is no distinction with cuando/when in English like there is in Spanish. When I am in college I am going to study a lot. When I am studying another language I will go to another country.

Te recomiendo un programa por Assimil, "Ingles Americano sin Esfuerzo." Es bastante entrentenida. Aprendi la lengua espanola con su programa de espanol. Tambien, te puedo recomendar el programa de aprender ingles para hispanohablantes en languagetransfer.org estes dos programas son buenisimas y valen la pena. disfruta tu aprendizaje de ingles.