Yes it is intimidating at first!
When you want to do a rig it is best that all your objects are properly placed with there rotations and scale applied in a generic rest position before you align and parent the bones. Place the bones in the correct position in edit mode and finally parent the objects to them.
I think your objects moving when you apply transformations is mostly due to the delta transformations that you have. I do not know how you managed to get all those delta values, probably by moving the rig around. Delta transformations are transformations that are applied on top of (after) the normal ones.
Applying Location is usually not a good idea, as it will send you objects origin to the centre of the world, this can be problematic in many ways. For example if you are using modifiers that rely on the objects origin, like the mirror modifier it can be a disaster. If you apply all transforms to all objects all the objects origins will go to the same place (0,0,0)
So in general do not apply “location” or “all transforms” as you will change your objects origin.
In your file you have already done that, which is why you get all those dotted lines going towards the centre. The lines do not go exactly to the centre because of the delta transformations.
To fix (working from my file that has the armature all in one) select all the objects EXCEPT THE ARMATURE and go to object -set origin – origin to geometry.
Now for example the head. Take a look at the heads transformations and delta transformations values. Note that you have values set in the delta rotation and location.
You can now go to object - apply rotation, AHHHHHH it moved – do not worry,
go to the delta transformations and set all the values to 0, it will go back to were it was and all the rotation values (normal and delta) will be 0. You can now do the same with the other objects.
Once you are done all the objects will have the rotation transforms set to 0.
For location deltas it is more tricky because when you apply the location what will move is the objects origin. If you want to get rid of the delta locations the easiest way I can think of is to apply the location (I know I said don’t!) then copy the values from the delta transformations into the normal ones (the object will move) then delete deltas (the object will go back). And finally you can set all the origin back to geometry (except the armature!).
If you do not apply the location first you would have to add all the delta transform values to the normal ones which would be more complicated.
Once finished your objects should behave more logically.