Zaraki: you can see how many levels you've completed by looking at the scores at the right panel (or the panel besides the Game screen inside the Flash screen).
You can get another mission (they are all random) by clicking 'Ask for a Quest' in City Hall.
You can make the game more challenging and interesting by not selling a single item that goes into your inventory dropped by your foes and rogues (use what you pick up - holding the items on you like the blue items could increase your chance of finding more blue items as I've experimented it a several times); get the gold from clearance missions and deliveries to buy some potions and/or scrolls; and don't raise a single bonus point into Intelligence stat attribution, Art of War & Patriotism skills (hiring mercenaries would be pointless as it is wasting your Gold).
You have auto-regeneration ability: Try avoiding hits and your health will go up (you can know that you are in danger when the anthrax marks in blood appears and gets darker and darker on your Flash screen).
To ensure myself having fun without getting bored so early on, I always keep to my mind not to raise a single Bonus Point into Intelligence, Patriotism, and Art of War attributions and go into an one-man army, to fasten the speed, I choose a weapon and go on a horse, or do double attacks on dual weapons or use the Staff [Naginata]. This is an unconfirmed theory: whenever I play Feudalism, I never sell any item or hire Mercenaries, and I use the items from the fallen warriors, and pile up my inventory slots. And when I do, I notice significant numbers of Rares [Blue-background Items] drop by Rogues, and Foes than when I do sell things after I get ‘em from enemies. Forgot to add: to buy healing potions for playing without selling any items, do missions and clear up Rogues. XD
xJem: about getting attacked while travelling... Get the most expensive vehicles and avoid them (20 Kmh Hummers), unless you're travelling up northeast with bunch of angry motorcyclists.