As far as additional facial features and shapes, the only things you'll find would be hair overlay accessories, which, as I have not used any overlays, I assume are loaded just like a png hair would be loaded, with the added requirement of the loader and a certain overlay module to allow both the hair and the hair/face accessories to display at one time.
There are a fair bit of hairs that include such facial features when loading as a PNG, but it limits you to using only that hair. As for anything that affects the Him, you have no choice but to use the loader if you want to customize Him.
SyntaxTerror does a good job summing up what each program does. One thing I'd add is that Vanilla SDT has fewer options, but it is also less of a hackjob than the Loader, and therefore is much more stable and easier to use for the average user.
The Loader can be complicated, but as long as you stay up-to-date with recent updates and issues found, as well as read up on the guides included in the Loader archive and in the tutorial section of the forum, you have lots of possibilities as far as gameplay and customization. It's also a bit of a time-consumer if you want to set up the mods and settings to your preferred playstyle from startup, but it's worth it.
