Question: Is there a comprehensive list of all PAM modules in existence?
Answer: There might be, but I've never seen it. Many different services include PAM modules of their own as a part of their source distribution, so it's doubtful whether a truly comprehensive list could ever be assembled.
Question: Should I create a wheel group on my system? How is wheel usually used, beyond the su command?
Answer: It's probably not needed on a smaller system with only a few users and only one administrator, but on a larger system with multiple administrators and even more users, wheel can be an important step in overall security. As far as just how wheel is used, there are different philosophies and conventions. Your best bet is to look at several books on Unix system administration.