I'll take your last question first. The concept of the nation state isn't perfect, but I think it has served us fairly well for several centuries. It also supports a reasonable level of accountability of the government to the governed (in democracies at least). The notion of replacing nation states with larger agglomerations seems to me to be an experiment in which there are no obvious upsides. There is evidence already of tensions between the interests of the EU as a bloc, and the interests of the populations of individual states. It is going to be interesting to see how these play out as I don't see them going away any time soon.
To your first question, I accept that, as non-participants in the Euro or Schengen, we already avoid some of the 'rules' (though I doubt the long term viability of our form of EU membership). I would nevertheless like us to be able to set aside the free movement of people within the EU, and to craft policies which can be adapted to suit our specific needs (see below). I would also like to take us out of the jurisdiction of any EU legislature - as a mature democracy, we're perfectly capable of crafting and maintaining our own laws. In addition, I'd like us to be the masters of our own marine environment.
I understand that the first reaction of many people to suggestions about taking away 'free movement' is that this is based on some kind of xenophobia, or ignorance about the contribution made by immigrants to our economy and culture. To be clear, I'm not an opponent of immigration, but I do believe a country has a responsibility to manage it. By 'manage', I don't mean the setting of crude numerical targets - it seems to me that these fail to account for the fact that immigration generally benefits our economy and helps to compensate for our worsening demographic. Management of immigration would entail favouring people with particular skills, ensuring the impacts of immigration are spread, having policies to minimise 'ghettoisation', and procedures in place to quickly integrate new arrivals into our culture and way of life. Free movement as defined by the EU makes such management virtually impossible.