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Nickname, thats pretty much what I would do, pick one name to be a hub, and have links to that hub on nearly every page I built on the rest of the domains.
As far as I'm concerned, the most important part is tuning and focusing my sell. (course, thats just as true for linkster sites and galleries as it is for SE work.) Search engine traffic is creamier than any other kind of traffic, but if I'm not careful I can easily waste that surfer. So I try to start thinking about what sponor and what site and what sales approach I'm going to use. There's a certain kind of surfer that I know is ready to buy and has money to spend, and I try to build my site to make that kind of surfer feel comfortable and respected.
So, you want to think about your niches, think about your sales approach.
Keep in mind, I studied hard and experimented my ass off, and 8/10ths of the time I still feel completely in the dark. You are gonna have to study too if you want to make a decent income off of it.
DMOZ will list sub-directory sites just as happily as index.htmls on the root of the domain, but indexes are the sweet spots, roughly three times more likley to appear in the top 20 than any other page.
Looking at your referrer stats will tell you more than almost anything.
There's "tricks" and shit that I'm not going to talk about, mostly very simple and self-evident, and they are mentioned and referred to many times here and at other forums. You'll enjoy figuring it out. ;-}
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