Overall, treat websites just like any other word. Sentences still require the same punctuation in the same places as before even if there is a website in them. It's better to, and more ascetically pleasing to just link out to a website in almost all cases. This also takes care of all of your questions, however in the case of printed materials, this is not always possible.
A small side note, in printed material, it is best to use a Tiny URL (or similar service) to shorten urls. It not only looks better, but there's almost a 0% chance that a user will type out:
https://www.google.com/search?q=wowza!&espv=2&biw=1440&bih=702&source=lnms&sa=X&ei=ScrmVKqpN-_fsASltoD4Bw&ved=0CAUQ_AUoAA&dpr=1#q=hot+damn+that%27s+interesting
http://tinyurl.com/mwhnpfg is less frightening looking and users might type it out. Onto the cases!
Case 1
If I have a reference for a link on a web page inside a paragraph,
like this same example http://graphicdesign.stackexchange.com. <=
Should I use this period?
Yes you need the period to close the sentence. Without it, it's unclear that the sentence has ended. You can avoid ending on a link (or email) if you don't like the ascetics of it though. You can also just type the name / description of the website and link out there instead. Like this example of Graphic Design: Stack Exchange.
Case 2
If I have several links http://graphicdesign.stackexchange.com,
http://photo.stackexchange.com, etc. Is it ok to use the comma?
It's not only ok to use coma but you need them, for grammer's sake and readability. It's hard to distinguish multiple sites in a row, without the comma it becomes a wall of blue that a user might not know has multiple site names in. You could make it a list like so:
This makes it even easier to read, makes it clear as to how many items are in the list and it's easy to tell where one url ends and another starts.. but it's up to you which way you prefer.
Case 3
I'm posting this example: http://photo.stackexchange.com. Is it wierd
to use the colon ":" twice?
It is not weird at all! A reader will see the colon and know it's part of the url. There's nothing you can do about it as the writer, and it would seem wrong to omit the colon in the sentence.
Case 4
In programming, the use of CamelCase capitals and lowercase letters is
useful to read a complex word. If I have a
complexnameexamplewebsite.com Is it correct to write
ComplexNameExampleWebSite.com to facilitate the typing? In web domains
the names are case insensitive.
According to Google, "domain names are not case sensitive". So yes, it is correct to type the name of the website using camelCase. I'd recommend it. If for some reason you believe a domain to be case sensitive, test it out before hand and see.
