where's iron chef? he's the asian sauce / seafood expert 'round here.
i just saw a thing on tv about the "proper" (whatever tastes good to you is proper imo, so don't get all bent out of shape) way to eat sushi and sashimi. for nigiri sushi (bite size pieces of fish on vinegared rice, the most common), you are supposed to eat it by holding it with your fingers, not chopsticks, and if you must, you may dip the fish portion only in straight soy sauce. don't soak up the soy sauce in the rice, and don't add wasabi to it. the chef has already put wasabi between the fish and rice, when appropriate.
also, eat the whole piece of sushi in one bite. don't try to bite in half, and leave a mangled piece on the plate.
of course, gunkan (a nori "boat" with rice on the bottom and fish such as roe/eggs filling the top), maki (roll), and temaki (hand rolled like a corucopia) sushi should be eaten by hand, and not dipped as well.
for sashimi and chirashi sushi (sashimi scattered over a box or bowl of rice), use chopsticks, and mix wasabi into the soy sauce to taste. dip the fish sparingly in the soy/wasabi mix. again, eat the whole piece. eat the accompanying bowl or box of rice to cleanse the palate, but don't hold the bowl to your mouth and shovel, unless godzilla is attacking and you're really hungry. it's sticky rice, so you can eat it easily in clumps with your chopsticks. it is, however, ok to eat soup by picking out the larger pieces with chopsticks, and drinking the soup from the bowl.
as far as other sauces; there are tons of japanese and korean sauces, but i've never had them offered with sushi, and i've eaten sushi in dozens of places, literally thousands of times.
that said, my wife likes to dip sushi in the sauces, mostly soy based, often sweet, that come with appetizers such as shu mai and negimaki.
hope this helps a little.