First off, I'll just state that I was introduced to Megadeth when I was 11, and by the time I was 13 I wouldn't listen to anything intentionally that wasn't metal (currently 19).

I've been playing for about three months, the first month or so almost exclusively scales and songs I had thought would be easy, yet found out I was horribly horribly wrong. As of a month ago, I have been taking it much more seriously and am playing 3-4 hours a day. Today's accomplishment has been playing "Mortal Share" by Insomnium at normal speed without stopping with only a few errors, Lead for the majority of the song, and Rhythm for the solos. Anyhow this is just to give a bearing on where I'm at.

My main question is, what kind of exercises should I be doing? I have been dodging practicing hammer-ons and pull-offs, as whenever I try to do them, the note just dies, which is frustrating. And I'm sure at one point I should learn to sweep, but that may be out of my ability right now...

And another smaller question is this: my pinkies are 'bent', will this cause me to be unable to play more technical things?
You can't avoid practicing Hammer Ons and Pull Offs forever, you will eventually need them, especially in solos. Judging by your taste in music, you can't avoid using hammer ons/pull offs. Make sure to practice those. Practice your scales everyday too, master them to the point where your sick of it and can play it relatively fast. Try looking up scales like Phrygian and Aeolian. A lot of guitarist in metal use those scales. I recommend looking at the lesson section of this site, it's pretty helpful.

As for your pinky's being "bent", I'm not quite sure what you mean, but as long as you use it a lot, you'll get used to using it to play and it shouldn't be a problem. Good luck.
Current Equipment List
Jackson Customized King V
Crate FXT 120 Combo Amp
Marshall MG10CD Practice Amp
Harmony Electric Guitar
Esteban Acoustic Guitar
Martin D35 Acoustic
Ah.. for practicing hammer-ons and pull-offs, what would be the best way to do it? Chromatics? And when I mean bent pinkies, if you put your hands together, palms towards your face, the pinkies line up together until the last joint, and then bend into their respective hands, forming roughly a 75º angle. Makes reaching a span of 6 frets without moving the fretting hand much somewhat difficult.
I like to play scales and pick the 1st note for each string then hammer on the next notes and then do the same although reverse and use pull offs.
Quote by howey
I like to play scales and pick the 1st note for each string then hammer on the next notes and then do the same although reverse and use pull offs.

I will try that. Tack så.
Or you could just learn some parkway drive which contains a stupid amount of pull offs and hammer ons haha.
Also, when I try to pull off from frets 4-8 and 11-13 I tend to get unwanted natural harmonics from the local 5/7/12 nodes... how should I be pulling off from these to not get them?
Work on learning music theory in addition to just technique. Learn common metal techniques like palm muting, alternate picking, gallop rhythms, riffing ideas, etc.