Hi there
First, you need to unlock the phone just once. After it you can flash it using your ROM of preference and keep trying different ROMs until you find the one you like the most. I suggest you to read this post before doing anything.
http://forum.ppcgeeks.com/showthread.php?t=91619
Because flahsing will delete all your personal configurations and data, you may want to try something like Microsoft's MyPhone. With it, you can backup and restore your contacts, txt messages and pics
https://myphone.microsoft.com
If you are new to the terms used here, read this glossary
http://forum.ppcgeeks.com/showthread.php?t=72812
I am a Sprint user and in my case, thetering is actually blocked in the Sprint ROM. This is because Sprint is trying to push their customers to use their new MWiFi device. I tested WMWiFiRouster and worked great. However, most of the ROMs found here (if not all of them) will allow you to go steathl for free (of course a donation to the cook is suggested).
To your second question, I love my Sprint TP2. I used to have a HTC Touch Pro before and the TP2 is a great improve. I was very skeptical when I moved to the TP2, but this phone won me. I don't have any experience with the Android so don't know which one if better. In my case I need to stay with a WM phone because of work reasons.
About your third question, it really depends if you use the orginal Windows Mobile interface or if you like the SPBs or Manila interfaces, which are really nothing but nice interfaces that install on top of the original WinMo one. They have good things and not so good things but everything depends on what you feel confortable with. A trade off could be speed... adding these interfaces will take memory from your phone but there are ROMs here that seem to be very good at managing memory. For that, I would suggest you to take the time and read the threads for the ROMs that catch your eye. Takes time but it pays off at the momento of understanding the pros and issues each ROM has.
Hope this helps.