What you have in mind with automatic substitution would be a macro. LyX 1.6.x does not support macros directly; you can create them in the preamble if you know how to write LaTeX code. My impression is that LyX 2.0 will have a macro capability. As an alternative hand-coding macros in LaTeX, you can bind a custom key combination to a sequence of LyX functions (LFUNs) that inserts what you want (so that, for instance, Ctrl-Alt-H inserts "HTML" along with possibly some custom formatting). The downside there is that (a) there's a limited number of uncommitted key combos and (b) if you're like me, you won't remember them.
As far as markup goes, remember that your document will probably end up being turned into a DVI, PS or PDF file, so the final product will not contain any markup. I think what you want is visual cues, which leads you to custom character styles. Rob Oakes has a nice blog post (http://blog.oak-tree.us/index.php/2009/11/14/customize-lyx-character-styles) that will get you started on that. I think Steve Litt also documented it somewhere, but I'm afraid I don't have a link to his book handy. Searching the archive of the user list should turn it up. /Paul