As far as banks are concerned, I suppose it depends somewhat what your plans for the future are. I think that UFJ is probably the most convenient bank in terms of number of ATMs and branch offices nationwide. There are other things to consider, however.
For example, the hotel I used to work at paid monthly salary ONLY through UFJ bank accounts. I had to open a UFJ account specifically for this purpose.
Conversely, when I taught eikaiwa, the company I worked at only accepted payments from its customers from one of three different banks. If you didn't have an account at one of the institutions, you had to pay in cash (frowned upon) or open a new account so you could pay "properly".
Much like mr.
sumo.snr, I have several bank accounts, too. You can always open a new bank account if you have to, and I'm sure that your in-laws have lots of advice, too!
Concerning the pension, as I said before, if you plan to spend THE REST OF YOUR LIFE in Japan, then the pension would be worth your time IMHO. If you only plan to stay for 10 years, then entering the pension system might not be in your best interests. I personally am proudly in the pension system, and I'm glad I am.
mr.sumo.snr, I thought that if you were self-employed you were (at least on paper) required to join the KOKUMIN-NENKIN for \13,300 each month. Could you explain what you know better, please? I'm curious.
Another thing I thought about is furnishing your new home. Here in Nagoya, there is a place called the Kokusai Center which has a board for foreigners to post things they want to sell, etc. I've actually gotten a lot of stuff for free from going through those posts. I'm sure that in Kansai there's a place like that, too!
One more resource you can use are the "recycle shops". They sell used things usually for a decent price and are worth checking out.