Question about Froyo and Rooting

1. Froyo has been around longer therefore is more stable currently. It may be some time before you see a stable GB release. You can always flash Froyo then GB, it's just remcommended to flash back to stock in between.
2. Yes, depending on the method you use to flash the ROM, you may have to root first. You can always unroot as well.
3. Yes, flashing any new ROM will wipe your data but you can use Titanium Backup to backup your user data and apps.  AFAIK, you would need to be rooted for this.

Correct.
Basically, search XDA (or possibly here, I'm new here so I don't know what files they host) for "One Click Root". make sure you can connect your phone to your PC in debugging mode (Settings/Applications/Development) and run the root program. Keep it hand in case you need to unroot, only necessary to return phone for warranty.
Then download ROM Manager from the Market (free). Once that installs open the app and flash Clockwork.
Most ROMs come as a .zip file that can be placed on your internal storage card and flashed by opening clockwork in recovery mode and flashing zip from SD Card.
Of course make sure you read the OP for the specific ROM for any special instructions, take all necessary precautions and backup your user apps and data with Titanium (also free on the Market)
If you are stock now, no need to flash back to stock but if you are flashing different Chef's ROMs, some people say it is better to flash back to stock first, other users swear it doesn't matter.
What I like to do is use ROM Manager to backup my stock ROM and use that for restoring to stock instead of using Odin. If you back it up, navigate to your Clockwork folder in the root of your innternal storage, rename it to whatever and copy it to your Ext SD card or your PC.
Another thing to check first is whenther or not you can manually get into recovery mode my pulling the battery, reinserting and then hold both volume keys and the power button at the same time. After the AT$T startup logo flashes twice, release the power button and it should go into recovery mode. This is a useful step if your flash goes bad, like your USB disconnects during flash, or the battery falls out or something. Some models did not have this enabled out of the box.
I definitely encourage you to read up on flashing first, learn all you can before jumping into it.
Otherwise you can just root and decripple (be able to flash non market apps) fairly painlessly and with minimal risks. Both can be undone also.

Hope this helps.

If stability and getting everything stock has working on your phone is #1, then you should get cognition the latest. I used to not recommend cognition because its gps was broken, but it's fixed now and everything working on stock works on cognition.

the only 2.2 froyo rom that's not rooted out of the box are the roms coming directly from the carriers themselves. every other customized froyo rom is rooted out of the box, so no, unless you were dumb enough to get the leaked froyo from AT&T or the official froyo from Rogers or Telus, your new rom will be rooted.
if this is your first time flashing a custom rom, always go with cognition, and then once you've figured out what it's like, then go with a different custom rom.