I've noticed a lot of applications have complex Path data that draw everything from images to text. Are these drawn directly with the pen tool or is there an easier way to draw these complex paths?
You can draw them with the Pen tool, however, there are "better" ways (for some definitions of better). You can use the Expression Design product to create source art and bring that into Blend. You can also use either Adobe Illustrator or Adobe Photoshop to create your art and then import that art into Blend. This latter category is the source for many of the complex paths you see.