Microscopic liquid-state theories are employed to study the structure, free volume, and dynamical properties of rod polymer-colloid suspensions with an emphasis on the high particle density regime. Depletion effects result in strong local clustering of the colloids and polymers in the one-phase region, and more so with increasing colloid-to-rod size asymmetry ratio. The colloidal collective cage order at high densities is a nonmonotonic function of rod concentration reflecting competing physical effects. A dynamic consequence is a strong modification of the colloidal glass transition volume fraction. Far from the glass transition, depletion attraction between colloids can suppress (enhance) self-diffusion (shear viscosity) by modest factors of similar to2-4 and lead to a violation of the Stokes-Einstein relation with increasing rod polymer concentrations. Polyelectrolytes are also studied using a simple nonadditive excluded volume model. The additional polymer-polymer repulsions result in suppression of depletion-driven fluid-fluid phase separation and the tendency of the rods to preferentially segregate near the colloids. Consequences of the latter effect include a more dramatic modification of local colloidal structure and glass formation, the emergence of a statistical adsorption or "haloing" phenomenon absent for neutral rods, and a strong collective organization of the charged polymers on multiple length scales at high rod concentrations.