1. cost depends on the unit. you can buy premade ones from companies like vapochill but they'll cost you around... $800 or so. OCZ is supposed to release one soon though that's gonna cost around $300.
2. frozencpu.com, as well as many other sites. you can get a custom made one from people like pc-ice or chilly1 over at xtremesystems.org
3. temps will vary depending on the size of the compressor as well as the gas used.
4. advantage: colder temps which equates to higher overclock. disadvantage: cost and chance of killing cpu/mobo/other components if you don't insulate everything well. also a LOT of the newer opterons CABYE, CAB2E, CACJE, CAQYE, CCB1E, CCBWE all have cold bugs meaning you can't go above a certain HTT or the mem controller on the chip gets so cold that the cpu won't even work.