Instead of using a starting option, set the rules in your window manager. I'm not sure whether you use Compiz, if yes, you can set the rules in Compiz using the compiz settings manager (ccsm). Again, since I have only 10.04 and 12.04 around, I can only give you a rough guide.
Open ccsm, enable the plugin "Window rules" (under Window Management). If you don't have ccsm installed yet, you can do that by typing
sudo apt-get install compizconfig-settings-manager
The usual caveats about the stability of ccsm and problems when meddling with Compiz settings apply.
In the field called "sticky", type
Answer to the second question: copy the same under "Skip taskbar", "Skip pager" etc.
To launch automatically, start gnome-session-properties and click on "Add" button on the right. Add the name (Gkrellm), command (gkrellm) and comment ("Who came up with the ridiculous name >>gkrellm<
EDIT: turns out that gkrellm actually has a "sticky" and "skip taskbar" option. They do not work properly on my 10.04 system (error message:
Cannot open config file /home/nexus/.gkrellm2/user-config.new for writing.), but works without any problems on 12.04. In any case, the WM solution is applicable to any such problem.