It sounds like the next logical step for you is to now setup a CDN and use a plugin like W3 Total Cache. Are you familiar with these concepts? W3 Total Cache is how you’d go about compressing all of the assets. And using a CDN service is how to reduce load times of images by dispersing them to different servers around the world (popular example of a service is Amazon S3).
It’s an important when making a WordPress theme for public distribution that these kinds things like caching, merging of CSS and JS files, etc, are not done for you. These are things you need to control from your WordPress site as you see fit in conjunction with whatever theme you’re using and plugins you’re using.
I already cheat a little bit on this by minifying many of the assets for you in the theme. I justify this by educating people to make all of their edits to these things from a Child theme.
And also to the point about the videos being in iframes, that’s not something you can change, as this is how all the popular services like YouTube and Vimeo are doing it now. The act of embedding these videos specifically is handled interally within WordPress’s oembed system.