1. The bootloader is not built in, it's a piece of software code that can read serial port data and write it into all the rest of the code space (you must also add a voltage converter chip, MAX232 usually, since the RS232 port doesn't use 0/5 volt logic).
You might find somebody who will program the bootloader in before sending them to you. Big vendors don't do this.
2. Either ICSP, or you can put the chip in a programmer's socket, provided your programmer is equipped with one (most are). Note that if you have ICSP wired up, you can do all your programming this way and you won't need to put the MAX232 or serial port jack onto your project, but you'll need to use your external programmer hardwardware every time you need to program it.
3. No. Bootloader must be installed before you can do this.