Yoko366: Trading facilities give you revenue for internal trade but it is pitiful - the big money comes from trading internationally by a sea route. For this, you need to build trading facilities and ports in coastal provinces with trade goods, then have an unbroked chain of your ships in seas that connect them with the same in foreign lands. Enemy ships stop trade and you can't trade with enemy lands or even rebels, IIRC.
Some provinces give you bonuses for units and these should be exploited, but otherwise, yes, you are right - they mainly gain valour from combat.
On your other points - assasins can protect you against enemy assasins, but I rely on the borderwatch tower buildings; and yes, other factions will often refuse to marry you and you can't move artillery (although catapults can pivot). Dedicating provinces to build particular types of units is a good idea - eg in a Polish game, I aimed for provinces dedicated to knights; siege machines; archers; spears; swords; light cav etc plus three just for pumping out ships.