#3 is interesting - theoretically, being able to run your code in SMM means you have 100% control over the machine; one of the interesting features of SMM is that you can trap port I/O... so, basically, if you could inject malware into the flash BIOS and use this SMM hack, you could trap the port I/O necessary to reflash the BIOS, and thus make the malware resilient to removal. This would be coupled with a custom hypervisor to avoid detection, and *b00m* - game over.
In practice, though, there's so much machine-specific stuff needed that this won't be a general threat. And it's not exactly a simple task being undetectable, even when you have a hypervisor... there's so many possible detection vectors.