Hi,
You are allowed to use hyphens (-). Dots (.) are allowed for second level domains.
As far as extensions go, you can have numerous choices. The most commonly used are lsted at
http://www.enom.com/domains/Register.asp
If you want a specific country's extension. for instance .my or .au, then you will have to contact that particular region's local domain registrar. You also would have to furnish a few documents for the registrar to be able to register the country extension for you.