I'm not completely sure what you want to build...
Shield usually is a piece of PCB fitting the connectors of the arduino.
Since you talk about breadboard connectors, do you want to buy a perfboard shield
and solder the "breadboard"-components on it ?
Or would you like to use them on a breadboard and connect the arduino by wires ?
both (since a breadboard shield exists) ?
Or do you want to design your own PCB/shield using these adapters ?
Which pins you should use depends a little on what you want to do.
In theory you could use the pins you like. Some pins have special functions and some peripheral chips/circuit may also need special pins.
I wouldn't use pins of the serial port fast for example, since they're used to
talk to the PC. But in a stand-alone project I might.
When it comes to pins it's also a matter of what the components of your project will
require. Should the MP3-shield for example need a fast SPI-port to work properly,
then it may... be possible to use software SPI and just choose any pin, but connecting the shield
to the right pins of arduinos hardware SPI-port will probably give much better results.
Luckily the joystick shield uses just buttons which can be read digitally by any pin,
should you have chosen one using pot-meters, you would... have to connect them to
to pins capable of reading analog values.
I know it's possible but haven't worked with PS2-keyboard on my arduino yet, I
also don't know what you would like to do with the RCA-plug. Check... whether the keyboard
and other purposes are possible with just any arduino pins or that they require special ones.
It's also good to think what you would like to do your project and whether it should be expandable.
Reading joystick buttons using pins that also can be used for I2C-applications is possible. It may pose a problem when you would like to add an Real time clock-chip that uses I2C later on for example.
Having enough pins...
You probably need a lot of IO-pins for the items of your projects, but you don't need every item
to be connected directly to the arduino. A port-expander chip like the PCF8574 is controlled by I2C, uses
2 pins of the arduino and gives you 8 IO-pins in return. Two of these chips, connected to the same
I2C-bus/Arduino pins, would already be more then enough to drive LCD and probably read 2 joysticks.
If you wanted... you could connect up to 16 (x8 pins) of these chips at the cost of 2 arduino-pins.
Shift-registers require another technique of addressing, also use just a few pins of the arduino, and are usable to create hundreds, perhaps thousands, io-pins.
Creating pins these ways to free arduino pins is possible but some parts of your project may need
to be connected to the pins of the arduino directly. In order not to miss keystrokes connecting the keyboard to arduino directly is probably best. An MP3-shield may also require to be connected directly.