First of all, depends heavily upon where you live. I doubt gay Ugandans will experience any kind of privileges. But even in the most progressive Western societies, it's obviously a lot easier to be hetero for a number of reasons and it shouldn't be that way. That being said, you could argue that there are some privileges, (and I'm talking genuine ones and not stuff like "we're fabulous!"). For example, a gay man is much less likely to be judged by his peers for stereotypically feminine behaviour than a hetero man. But then this is also due to the stereotype of gay men being effeminate and so it kind of collides in on itself. Without rambling on too much, it does exist. However, heterosexual privilege is so much more prevalent. It's not like male and female privilege (in this part of the world anyway) where the two are essentially equal in different ways. Being heterosexual is definitively easier than being homosexual/bisexual etc as straight people don't receive abuse for their sexuality, they don't have to worry about being judged for their sexuality and so on.
One could argue that in cities that are very tolerant, provided you come from a family that is tolerant, it could be easier to be a gay male nerd with severe social anxiety than to be a straight male nerd with social anxiety, mainly because the latter will have a much harder time getting dates. You have to ask heterosexual women out--can't sit back and wait to be asked out, and there is more pressure to perform. Men are much easier to pick up. Among my male friends, for instance, the gay ones tend to have better sex lives. That qualifies as a 'privilege' I think. For women it's a different story. Straight women have it easier than lesbians by the same token. Now, with that said, once you land one girl it becomes much easier to get more afterwards. So in the long run I think it could still pay off being straight because your dating pool is much larger. It's just getting your foot in the door the first time that's really hard if you're a shy introverted person. Gays also benefit from monosexual privilege, which is to say their orientation is accepted as existing by most people, and not questioned instinctively by lots of people. Their orientation is depicted commonly in films and tv shows, and there are many publicly visible figures that are openly gay. So this is a type of privilege that gays share with heterosexuals, which bisexuals and asexuals lack, for instance.
I'll agree with this, for the most part. I don't know that gay men have better sex lives as much as they might have access to more variety if that's what they're looking for. But your point is taken, especially "easier to pick up." I don't know about the differences in quality between a straight woman's and a lesbian's sex life, but I also suspect that to be true because, regardless of orientation, women in general express a much stronger desire to connect with the person they want to be intimate with. I really sense that in some of the posts women make here. On the other hand, look at how many posts by the guys have hotness as the key feature. And I'm guilty of that, too, on various threads.
