Link Featured Thumb to Attachment Page, If Possible

Question 1: How do you link Featured Image to its Attachment Page

In the loop:

<?php if( has_post_thumbnail() ) : ?>
<a href="https://wordpress.stackexchange.com/questions/52394/<?php echo get_attachment_link( get_post_thumbnail_id() ); ?>">
    <?php the_post_thumbnail(); ?>
</a>
<?php endif; ?>

Question 2: Post Format Templating

Post formats are actually just a custom taxonomy with a fancy UI. Hence, you should be able to access and style the post format archive pages via the template hierarchy (admittedly, I’ve never tried), but you can’t style the individual pages.

Lucky for us though, Twenty Eleven shows us the way. Line 27 of index.php:

<?php get_template_part( 'content', get_post_format() ); ?>

get_template_part() is a great function, and you should just read it’s Codex entry. It’s better than me trying to rewrite it as an answer.

Now, in that loop, you create a file called content.php for a fallback and then add content-video.php, content-link.php, etc. for whichever formats you want to customize.