I would use screws instead of nails. I personally don't see the need to caulk or hide the screw holes. They don't bother me, and I like to know where the studs are so I can build shelves in the future. I do like white paint on the walls to brighten everything up, but also to contrast what I have on the walls, or shelves.
If I was to caulk, I would use Big Stretch caulking. I've been using it on jobs for clients for awhile now and it's worth the extra money.
If I was to fill the holes from the screws, I would use joint compound. It sticks to everything, and it's super easy to sand smooth.
If you prime with Zinsser 123 before painting, you will use a lot less paint and have a better finish.
I only use two brands of paint. Valspar from Lowes. Duramax is an exterior paint that is really, really good. I use it on interiors all the time if I thing I need a better quality paint the Interior paint. It's also great on bathroom walls where moisture and mold is an issue. The other paints that I buy are from Sherwin Williams. They cost more money, but my clients all feel better when I use it on their homes. Emerald is by far the very best of the best paints out there. Nothing comes close to what it does!!!!