I think the methods you've named are correct (it's been a while since I've used them)
The matlab C-compiler isn't really special; it is possible to use different compilers. See link list of supported compilers. This does not include gcc, but MS Visual studio is included. You'll run into issues when linking with the supplied libraries.
Basically: calling matlab from C is something you'd do if you need a tight interface; for instance if you want to synchronise 2 tools, or your S-function (simulink) requires additional information. But then, such a file is propably called by Matlab/simulink in the first place.
Calling c from matlab is what you want to do if you write your own S-functions or extensions to matlab.
The choice between C and C++ is yours; if you start from a blank sheet I suggest you use C++; you don't need to use the complete functionality but it allows more freedom. Also more libraries tend to be available for C++ nowadays.
C is the language of choice if you need to migrate to very different environments; i.e. to compile C to DSPs for instance. Or if you have got legacy code in C to start from. Mixing C and C++ is possible, but a can be a bit cumbersome; I'm sure you'll find topics on StackOverflow on this subject alone.