1) The original Planescape setting was designed to be played from 1st level, and it's not hard, if you remember an important rule:
Not all encounters have to end in bloodshed- for most encounters, there should be an alternative.
The Planescape setting is more about intrigue and philosophy than hack and slash. Diplomatic maneuvers, arguements about belief (and twists of logic), riddles, and roleplaying are all much more central to Planescape than they are to other settings. If you're running a traditional Planescape campaign, you'll probably want to have all your players choose factions to belong to (though be careful, some don't get along that well), and get them involved in the "cold war" between the factions as soon as possible. Set the first several levels in Sigil and the Outlands- don't go running off to the more dangerous planes just yet (though there's enough danger and adventure in Sigil and the Outlands to last any campaign to 20th level and beyond). The Abyss can wait until your PC's know a thing or two about their characters, their limitations, and the non hack n' slash nature of the campaign.
Now, in 3e, I'd recommend starting at 2nd level (to make working planetouched races, gith races, and bariaur, which are all ECL +1 and significant in the setting, into the game much simpler) and allowing Savage Species racial classes for people who want to play more offbeat characters. One of the fun elements of planescape is the fact that "Cantina Scene" parties, which I've ranted about elsewhere, are completely plausible and appropriate. If your players want to make a party consisting of a Mercykiller Illithid, a Sensate Pixie, a Doomguard Tiefling Wizard, and a Clueless Elven Psion, it's completely appropriate. The planes are high weirdness, where even such an odd group as this isn't the oddest group of bashers to ever wander the place. A party that I wouldn't allow in a million years in a Forgotten Realms or Midnight (or even Eberron) game, I'd allow in a heartbeat in Planescape, as long as the players can come up with a common reason for their characters to be together. The "infinity" of the planes makes it a fun place to experiment with classes, races, magic, etc. that you've wanted to try but never been able to work in elsewhere.
2) Get the boxed set- I think it's only $5 for the PDF on RPG now. As for 3e books, there are several that are helpful to have. Manual of the Planes is almost essential- it updates most of the planar mechanics to 3e, though it's not as complete as the Planescape materials were, it serves as a great quick reference guide to the planes (a must when your players wander off in an unexpected direction). Though the Planar Handbook has been lambasted by some on these boards, I'd say it's an important book for anyone trying to run a 3e Planescape campaign, and includes PC racial writeups for planetouched races (including several new ones, such as human/mephit hybrids, wildren, and others), new planar spells and modifications for planescape classes, faction-related prestige classes, lots of useful planar sites, CR-tables for planar encounters, and writeups on several planar cities. The only problem with it is that it's written for the post-Faction War era, which means that not everything in there (especially regarding the factions!) will match up with the 2e info. Savage Species, while not an absolute must, is fun to have for players who want to try their hands at playing powerful outsiders or monsters not normally available in a typical D&D campaign, and can be very useful for designing interesting planar encounters. Lastly, the Fiend Folio deals almost entirely with extraplanar monsters.
As for 2e planescape materials, there are quite a few good books and boxed sets, most (if not all) available as PDF's:
-The "Planes" Sets (Planes of Law, Planes of Conflict, Planes of Chaos)- These contain further details of the outer planes, and have an abundance of information and adventure hooks in them.
-Hellbound: The Blood War boxed set
Not only does it contain useful information about the eternal war between the fiends (and many significant players and battlegrounds), it also contains three complete adventures.
-Uncaged: Faces of Sigil
An anthology of NPC's. Lots of interesting ideas in here.
-The Factol's Manifesto
Get the complete "dark" of the factions.
- A few of the adventures were quite good. Dead Gods, Tales from the Infinite Staircase, The Great Modron March, and The Deva Spark are all ones I'm fond of. I liked Faction War as well, but be careful how you use this one (if at all)- it changes the setting quite a bit.
There are also a few third party d20 supplements that are very useful for Planescape games:
-FFG's Planes and Portals
-FFG's Sorcery and Steam (if you want to playup the "steampunk" flavor hinted at in the Planescape books)
-FFG's Monster's Handbook (the best book around for creating balanced but bizzare creatures- great for modifying the flavor of your "typical" encounters)
-Malhavoc's Beyond Countless Doorways
-Necromancer's Tome of Horrors
Though, that said, just about anything can be worked into a Planescape game- the weirder and more out of place in a "conventional" setting, the better. Just about anything from Malhavoc or Green Ronin, for instance, would fit right in (as would most Eberron material, or Bastion Press' setting- both of which I've heard compared to Planescape).
3) Hmm, hard to say, then. Sigil is very well detailed, though the rest of the planes vary. Of course, most planescape campaigns tend to involve a lot of going directly from Sigil to a specific site and back, so having a lot of detail would probably be excessive. Again, you can use just about anything with planescape- and "vagueness" is part of the setting, as the whole idea of the outer planes is that they are products of dreams, thought, and belief, and hence vague and mutable. So, unlike the "concreteness" of a space setting (like Alternity Star*Drive), Planescape is intended to have more to do with imagination and dreams than anything else. (Which is why most 2e supplements and modules spent a lot more time on descriptions and characterizations than on game stats)...
All in all, it's worth checking out- it's still probably my favorite D&D setting, and I can't wait to run a 3e campaign (when I start my next one...)