1. Any fly fishing shop, which is not the same as other types of fishing shops. Cabela's sells em as well. Fly fishing shot tend not to have the clasps, and are much smaller. Use them spread out along the leader, not concentrated in a small area like a spin fisher would. Remember, you're using them only to sink, not to cast. And if your doing it with a drag free drift, the tension of the line doesn't pull the fly up like when you're swingin bait.
2. Yes. Lead is used less and less for shot, but still heavily incorporated into actual flies. The shiny new things are tungsten, tin, steel, etc. Hard to tell whether it spooks fish. But you can dull em up if it bothers you. Find an coffee cup or something and leave em on the porch in the sun and rain, maybe even add a little salt to em to quicken the process. They'll dull up...
3. You'll get a hundred different opinions here too. They can go under like a bobber, but more often it's a stop or brief hesitation that indicates a strike, fish don't hold onto a fly like bait. Indy fishing is an art that takes some time to master, but so does any other method of nymphing. What to look for? Castability. Floatability. Does it kink your leader? Is it easy to adjust depth? Does it slip (change depth when you don't want it to?). Is it easy to see? Does it spook fish with a splash or color? Whichever of these is most important to you and the places you fish....
Personally, I like thingamabobbers (yes, thats a brand) of various sizes. They make a right angle in the leader, which I find helpful in most situations where I nymph. They're easy on and off, don't slide, castable, visible without being obsene, and float well. Then again, I usually only use an indicator in long line, slow water situations.