I'm working on a similar project, quite a complex thing the design of a mmo.
By your questions you sound somewhat clueless about designing and programming a mmo. These aren't the sort of things you should be worrying about first. May be going about this the wrong way. =/
1)Character can wear various types of weapons, how can I "stick" image of for example sword into hand of character?
Paperdolling, drawing different parts of a person at certain positions. Eg, helmet, armour, legs, arms, weapon.
2)What about weather effect like snow,rain,desert storm. Should I use particle system?
What ever you find easiest, would be client sided.
3)When shaders can be useful?
When you need some effects and/or need processing power, they will be rendered with your hardware. Optimized for performance and quality.
4)What about lights and shadows in SFML?
Can do these using sources/emitters of light and obstacles. Suggest using a lighting engine or algorithm for use with cubes.
5)What about collision detection, should I only mark some terrains as "nonclickable" and other as "clickable"
Up to you, engine design, I'd say yes. But I do not see what relation clicking has to do with obstacles!?
6)How should I maintain multiple clients? I think spawning 100 threads for 100 clients is a bit of performance waist?
Client pools when your waiting on data, eg account server, receiving information. Connected clients can exist in an array, vector, list whatever suits you.
7)About optimization I think drawing only what is visible and sending data about things that are in player's field of view
I'm using tile synchronization, server sends whats in view, client shifts what has been sent and receives new portions of tile data in view.
8 )I need simply GUI system, which GUI made in SFML can You recommend and why? I need simple buttons, entryboxes for single lines of text and windows.
I'll be working on one as none of the ones made with SFML are suited or lacking for a games interface. They are generally poor to non existant functionality, creators have spent all their time recreating parts of win32 components, poor performance.
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I think you better think of your design ground up, a small but core chunk of my engine has been design on over 35 pages of notepad. The design makes all the games content loaded externally. (Scripts, images, effects, map.. you name it) It's just an engine
. Entirely server sided, very efficient, cross platform (thanks to SFML) and well structured.
It's taken a lot of consideration and attention, to design and refine all the various elements which make up a mmo, It's a tiresome and cumbersome task.
If you really are mad and want to go ahead with this, I suggest you design things from a engine up point of view, than a visual design point of view. Work out class designs, learn and research SFML, and other libraries functionality you will need and go from there.. If I were to loose my work, I wouldn't go back to making a mmo. It's such a full on project.