Our two respond and know their names and that of the other, sometimes come when called (if they're in the mood) and are overall the sweetest additions to our lives. We love them very much.
My intuitive guess is that they don't really "know" their names (they don't have (human) linguistic skills), but they respond rather to the inflection of your voice, to which they are accustomed. You use different inflections when you call each of them by name, and they can tell the difference.
Yes, cats can be trained to do things that dogs do, and maybe in some instances, more.
There are also stories of cats who are lost having the directional sense to return home to their owners from many miles away. Wouldn't experiment with that, though.