Poison weapon skill does NOT stack with arrows. They take damage as if you didn't have the skill. Of course, I've never tried using it at all after discovering that, so I don't know if it's broken (doesn't work with any weapon), or just doesn't work with bows.
Convert Arrows does what you said, it takes normal arrows and converts them. Obviously, save up arrows for converting into a really profitable arrow type. Splitting arrows are butch.
Splitting Arrows are odd things. If you stand about an inch and a half away from your target, the arrows will split right as they impact your foe, meaning you sink in 5 hits. Armor doesn't seem to apply correctly to the splitted arrow fragments, either, meaning you'll hit 5 times for full damage, or nearly so. Also, if you buy a Shadow Bow, the arrows will do shadow damage instead of piercing. Practise with these; they're seriously unbalanced compared to the other arrows, but are quite nice.
The other elemental arrows are crap. I've yet to encounter any monsters who cared that I was splashing them with water arrows; they did less damage than the piercing ones did. Save them up for selling.