As far as I know, all ceiling fans, and probably thermostats also, are RF, so you won't be able to control them with your IR remote, and there is no universal RF remote.
As for the lights, you can get the X-10, which you can control with the 2500, but not easily. The RM-AV3000/3100 have a code for X-10 lighting, but I couldn't find one for the 2500, so you would have to learn everything from another remote. You can get more info at the X-10 forum at
[Link: remotecentral.com]