Who is the lady dancing in the title sequence?
The lady is Karen Standley whose profile can be found on IMDB. Contrary to popular belief, she wasn't naked when appearing in the credits. She is actually covered in a thick layer of greasepaint and is wearing a bodystocking.
Did Roald Dahl write and appear in every episode?
No. Although the series was originally envisioned as a show televising the stories from his "Tales of the Unexpected" and "More Tales of the Unexpected" short story books, the popularity of the show led to stories from other authors being used. The episodes based on other authors stories had no introduction at all and by the third series, the title of the show no longer included Dahl's name.Neither did Dahl write the screenplays for the show. Dahl's stories were adapted by Ronald Harwood, Robin Chapman and Kevin Goldstein-Jackson.
Haven't I seen these stories on other shows?
Quite possibly. The original "Alfred Hitchcock Presents" show used some of Dahl's stories. Also, some stories used on that show were used on "Tales of the Unexpected". These include:The Landlady,
The Man from the South,
Lamb to the Slaughter,
Mrs Bixby and the Colonel's Coat,
Never Speak Ill of the Dead ("De Mortuis" in Alfred Hitchcock Presents)