Why did Yisro need to introduce himself to Moshe by name?
Rashi, Ramban, Rashbam Seforno and Targum Yonasan: He sent a Shali'ach 1 in advance to inform Moshe that he was on his way (to convert - Targum Yonasan). 2
Refer to 18:7:0.1:1.
Seforno: This was ethical as it enabled Moshe to prepare a place for him to stay. Moreover, one should not even enter one's own home without warning - Pesachim, 112a, how much more so somebody else's. Moreover, it is obvious from the wording of the message, that the Shali'ach brought Moshe a letter (Ramban) - and we find "Vayomer" with reference to a written letter in Divrei ha'Yamim 2, :10 (Ramban).
Seeing as conversion entails circumcising, how could Yisro convert, bearing in mind that Yisrael did not perform B'ris Milah in the desert, due to life-danger - seeing as the north-wind did not blow)?
Oznayim la'Torah (on Pasuk 12): Yisrael did not perform 'B'ris Milah in the desert, since their children were Jews anyway, and the B'ris Milah could wait for when they entered Eretz Yisrael and would be able to perform it. Yisro on the other hand, who was eager to enter into the Jewish nation and to receive the Torah, had no choice but to circumcise. 1
Oznayim la'Torah: Moreover, he followed in the footsteps of the tribe of Levi, who did circumcise in the desert. See Oznayim la'Torah, who elaborates.
Why did Yisro not say 'I, your wife and her two sons are on our way to you' - placing the verb at the end?
Rashi and Targum Yonasan: He was asking Moshe that, if he would not come out to greet him, he should at least come out to greet his wife, or her two sons. 1
It is unclear however, why Moshe would be expected to come and greet his little sons, who would have been less than two years old? Targum Yonasan explains that he asked Moshe at least to come and greet his wife and her two sons. He also adds that Yisro informed Moshe that he was coming to convert, and that Moshe responded by converting him before he even entered the camp.
