Let me first answer the relation between string theory and E(8) (I don't think I can answer the rest.). A common appearance of E(8) in strings theory, is in the gauge group of Type HE string theory, i.e., in E(8)⊗E(8). Now, this appears in Type HE string theory because of the fact that it is an even, unimodular lattice. But, it is interesting, for another reason; due to the embedding of the Standard Model Subgroup:
SU(3)⊗SU(2)⊗U(1)⊂SU(5)⊂SO(10)⊂E(6)⊂E(7)⊂E(8)
That's a lot of embeddings, but notice - The first group here, in the Standard Model subgroup, the second, third, fourth, fifth, are GUT subgroups. And E(8) happens to be the "largest" and "most complicated" of the exceptional lie groups. So a TOE better deal with E(8), somewhere!
I don't know about the relation between monstrous moonshine and string theory, but you can refer to Wikipedia.
There is definitely a connection with number theory. And even more: .
1+2+3+4=10
Not joking! EM is the curvature of the U(1) bundle . Weak is the curvature of the SU(2) bundles. Strong is the curvature of the SU(3) bundle. Gravity is the curvature of spacetime . I.e. 1D manifold, 2D, 3D, 4D ⟹ 10 D .