I've watched that video in it's entirety, I think it's called The Essential Marty Friedman. Techniques to pick out IMHO are his bending skills, he often does stuff like bending a whole step and then bending it back down a halfstep to reach his target note. Also on bending he does really quick halfstep bends and returns back to the target note again.
Another cool thing Marty is fond of doing is playing in odd note groupings, versus playing in your usual quadruplets, he does shitloads in 5s. Especially his pentatonics and exotic scales.
A nice way to vary your playing is to look into exotic scales like the japanese one, you can hear him really going far out with it on Black Cat by Cacophony...
Paulo showed that to me when I was just 16!
Thanks Paul!
Christopher.