Just use EMT and paint it the same color as the walls.

You will need a hammer drill and masonry bits to install the concrete
anchors.

Don't put lighting and receptacles on the same circuit.

Preforably put in a 20A circuit for the receptacles.

Yes, you can use a single GFCI at the beginning to give GFCI protection
for the number of receptacles that you will be adding. Put the GFCI in
a double wide box (box normally used for 2 regular sized receptacles)
and deep too. GFCI receptacles are too big for me to want to put them
in most places!