1. Write out the cheque 'to cash'.
2. In the bank on which it was drawn, i.e. your own bank. You could do the same when you make a withdrawl, so I can't think of a reason for doing this. Maybe retailers would allow you to do this if they know you, or certain credit cards come with cheque books that I guess people could use as (an expensive) means of accessing cash.
3. Not really, for maximum security, cross the cheque with the words 'A/c payee only' between the lines, i.e. the cheque can only be lodged to the account of the payee.