Lines and arrows are one-dimensional shapes. Like any other shapes they are vector-based and will always look optimally sharp no matter how you scale them. They can be made curved with additional drag handles that normal shapes don't have. Lines and arrows are added with the Shapes tool in the Home tab.
Lines and arrows are inserted with the Shapes tool in the Home tab, just like any other shapes.
Thickness, color etc.
Select the line or arrow, then configure its appearance in the Outline section in the Properties pane on the right.
When you select a line it has three drag handles, one at each end and one in the middle. Dragging on the middle handle applies a curve, which can then be intensified by moving the end handles. You will find that this is much more intuitive than the complex Bezier curve tools in some graphics programs.
Lines and arrows can use outline animations that "draw" them on the screen when they appear. See Animating Slide Content for details. Note that this only works on solid lines. If you apply outline animations to dashed or dotted arrows and lines it will convert them to solid.