This will be a more open question.
I would like to have a better understanding about how the homotopy group functors behave with different constructions such as limits or colimitis.
Some examples:
1) In the case $n=0$ we have $\pi_0$ is a left-adjoint for $Set \rightarrow Top$, $X \mapsto X_d$ with the discrete topology.
2) $\pi_n$ commutes with (finite ?) products. If I remember correctly this fact derives from a more general fact about the behavior of $\pi_n$ with regard to fibrations.
3) $\pi_n(\vee_{i \in I} S^n) = \oplus_{i \in I} \pi_n({S^n})$, if $n \geq 2$. Is it a coincidence that in this case $\pi_n$ commutes with the direct sum? I guess this won't hold in arbitrary spaces, but maybe in a sufficiently nice category of spaces?
4) According to this post on stack.overflow, $\pi_1$ seems to at least be a left-adjoint in the homotopy category of connected $CW$-complexes.
I am neither very good in topology nor in category theory and this is exactly why I am asking. I would like to know more properties similar to above to get on the one hand a better understanding of how to apply category theory to topology, on the other hand to get some practical tools for avoiding explicit computations when dealing with the $\pi_{\ast}$ functors. Do you know any?
It's not quite true that $\pi_0$ is a left adjoint for the discrete spaces functor – one should restrict to, say, locally connected spaces (if by $\pi_0$ you mean connected components) or locally path connected spaces (if by $\pi_0$ you mean path components). This difficulty goes away if you work with simplicial sets instead.
For $n \ge 1$, some of the good properties of $\pi_n$ come from the fact that $\pi_n$ is homotopy-representable. More precisely, let $\mathbf{H}_*$ be the homotopy category of pointed CW complexes (or Kan complexes). Then $\pi_n : \mathbf{H}_* \to \mathbf{Grp}$ is representable: there exists a cogroup structure on the (pointed) $n$-sphere $(S^n, *)$ such that $\pi_n (X, x)$ is naturally isomorphic to the set of homotopy classes of maps $(S^n, *) \to (X, x)$ equipped with the group structure induced by the cogroup structure of $(S^n, *)$. Of course, this is by definition of $\pi_n$, but it implies that $\pi_n$ preserves all limits as a functor $\mathbf{H}_* \to \mathbf{Grp}$. Since products in $\mathbf{H}_*$ coincide with products in the usual sense (at least if we work with Kan complexes), it follows that $\pi_n$ preserves products.
On the other hand, there are some things going on here that are not just abstract nonsense. For instance, the van Kampen theorem says that $\pi_1$ preserves certain pushouts (as computed in $\mathbf{Top}_*$) – from the point of view of pure category theory, this is not something we expect. However, we can define the fundamental groupoid functor $\pi_{\le 1} : \mathbf{Kan} \to \mathbf{Grpd}$ as a left adjoint, so perhaps it's not so surprising after all. More generally one expects that there should be a fundamental $n$-groupoid functor $\pi_{\le n}$ that is a left adjoint up to coherent homotopy.