Hi. Yes, Shogun runs on XP, but sometimes, depending on your configuration, you can run into problems. I know a lot of folks who run it on XP just fine though. Folks here have helped a lot of people resolve issues they had at first with XP, so if you get it and run into problems, seek help here.

You can unlock the Ronin/Rebel faction, which isn't normally playable. To do this you have to type .conan. after you've selected the Sengoku Jidai Campaign, chosen a faction, and started the campaign (any faction will do, as you will end up controlling the ronin as soon as you type .conan. when you get to the strategy map). Note that, AFAIK, this only works on the Sengoku Jidai campaign, not the others (1530, 1550, 1580, and Mongol).

You can design custom maps, and I've read that others have designed custom battles. There are hundreds of custom maps (some beautiful, some wild and Sci Fi) that are available here in the downloads section (mappacks 304, 305 expansion etc.).

There are ways to play both sides of each custom battle. It involves changing a value in a text file, I think. The mod here, Sasaki Kojiro, knows how to do it, so if you get the game and want to play the other side of a custom battle, ask him how to do it (I can't remember ).

My understanding is there are mods available for shogun that were made some time ago. Again, check the downloads area here. I've read that Shogun is not as mod-friendly as MTW.

That's all I know. Others will likely pop in and comment. Good luck, have fun.