major industries (coal, steel, oil etc)
Definitely not.
Definitely not.
Roads yes, perhaps rails, airports I'm not sure. Agree with hughento - go case-by-case.
Depends on the area. I would only support it at lower levels of government. Power probably not. Water maybe. Sewage probably, since that has a lot to do with going under roads and various other things. Other utilities, like sanitation, can be handled by by private interests, though I know in some places government handles it(though they should use private companies rather than trying to build new infrastructure in these cases).