You want to know when to use which one, kurai or gurai, right? I think it is influenced by the proceeding sound, but in most cases, both can be used.

「なんざ」を使う場面は限られています。「お前なんざ俺の相手にならない」のように、対象を一段下に落とすときに使用します。「などは」で言いかえられます。 "nanza" is rarely used as you can tell from the answer of the guy above. It is used to lower the position of the object proceeding it. 「やがる」について、この歌詞のケースでは「裏切られた」という気持ちを表すために使われているように思います。「消えないと信じていたのに消えてしまった。」 In this situation, "yagatta" (past tense of yagaru)" is used to express the emotion of being belayed by something you believed. But I don't think "yagaru" itself can express this.

ペン持ってる？ pen motteru?　We tend to omit "wo" when you are talking to your close friend. Politer version is; ペンを持っていますか？pen wo motte imasuka? But if you ask it very politely, you should say like 何か書くものをお持ちですか？ nanika kakumono wo omochi desuka? meaning, Have you got something to write with?

Honestly speaking, even Japanese cannot differentiate one from the others. We (Japanese) tend to use "分かる" in any occasion because it covers other two expressions.