1. "analog in" means input pins, you can connect 4 analog sensors like Sharp GP2D12.
All the pins can be set eighter input or output. If you connect servos to the pins, you will set them to be output. If you connect sensors, you will set them to be input. Actualy, if you connect servos, the compiller will set the pins as outputs when you configure the servos.
2. The 9V battery to power the board goes to the small 2 pin white connector on the right side of the board as you look in the picture. You can buy a ready made 9V battery connector. For the servos, there is an 8 pin connector just above the white one. You will plug the 6V servo power into the GND and +SP (pins 4 and 5 counted from the bottom). If you add to the board the optional 6V regulator, you can power everything from a 9V battery package (6 AA's). In this case, you have to install a jumper between pin 4 (+SP = Servo Power) and pin 2 (+MP = Main Power).
3. Yes, it's all that simple.
Any of the stores on this page have it.
Also take a look at this Hexapod
walker and at it's code
to get a glimpse at how easy it is to program.