Well, you've made the right choice choosing GP32 over Zodiac (in my opinion).
Anyway here's my answers on a postcard:
1. Depends where you are. I live in the UK and stupidly ordered from Lik-sang and I got charged delivery tax on my doorstep. Play asia are better if you are international, but the best place to go is www.gbax.com.
2. A large majority of the games can actually be bought and downloaded from the net for a fraction of the price from the official JoyGP website so I wouldn't bother ordering any hard copies.
3. It's fairly simple to do and if you get stuck there is plenty of support avaiolable here. The GP32 manual is in english anyway.
4. PC-engine is great, but there is also NES, Sega Master system, Gamegear, Gameboy colour and even a reasonably playable Genesis/Megadrive Emu.
- yes there is a snes Emu in development, but there are already a few available for download, although not perfect they are all promising.
5. I've never had a FLU but a friend of mine just bought one and I have to say I'm very jealous. It makes GP32 much easier, even if the price increment is a little steep.
Hope that helps.