Just to complement...
1. Why is it that when I download a PlayStation or Saturn game, it sometimes come with a CUE and SO MANY BIN's that are classified as "Tracks" like a music album?
You are probably referring to the redump.org format, where everything is split as binary data. It is the generic way to dump stuff, because audio tracks theoretically can be anything, not only WAV files, so it preserves the data track.
For instance, I usually dump stuff like that.
2. Why do those games come in BIN/CUE files and not ISO images? (A little misleading, don't you think?)
3. Why do these games sometimes come in different files that are NOT BIN/CUE or ISO files?
CD data is not only the ISO9660 filesystem (2048 bytes), there is a whole 2352 set. As Bregalad told, it is made so because "mode 2" can be anything, unlike "mode 1" that is a "basic" standard. Basically, when you are converting blindly from "mode 2", you lose data.
4. Since the majority of the games come in BIN and CUE files (in my case, it sometimes comes with a lot of "Track" BIN's), what is the best tool for converting these files into a single ISO file? Also, which do I convert first: the BIN file, or the CUE file?
I have been working on a tool to fix a lot of things regarding binary images, tripleswap, it isn't ready for some great purpose yet.
When converting stuff, always use the CUEsheet or any other Table of Contents file, not the binary data. Just to reiterate, I don't recommend converting that format if you are using PlayStation images.