got my intel NUC yesterday (the one with LAN connector but NO Thunderbolt) and everything seems to work. didn't try audio through HDMI yet. AirPlay works fine though. it won't work unless the graphics memory in the BIOS is set to 128MB, very important!
speedstep: to my best knowledge, the CPU in the intel NUC isn't capable of doing speedstep. edit: sorry, meant TurboBoost. CPU has NO TurboBoost. Speedstep: I don't know.
audio: right now, only AirPlay or an external USB audio-interface works.
USB: all ports seem to work flawless, had no trouble at all.
thunderbolt: I have the NUC without thunderbolt so I can't say...
sleep/wake: seems to go into sleep mode but doesn't wake up anymore.