1. Is the necessary firmware already installed on the board?

Yep. No need to worry about aquiring it. 3rd party PowerPC boards are coming soon for the Amiga revival, it's unknown what the possibility of OS X running on those is.

2. How will the G4/350 compare with a Pentium class windows machine for performance (assuming OS X)? I'm guessing it will "feel" about like a PIII/1GhZ running Windows. Is that about right?

Not really. OS X slows a machine down quite a bit, compaired to OS 9. It's much less noticible depending on a few things: 1. Processor speed, Processor L3 cache, graphics card support for Quartz Extreme, memory, and altivec. I have a 450 cube, and it's usuable, but not as "snappy" as my 600 desktop at certain things. It's still very usable though, and memory seems to be my main limitation (due to all the programs I run).

3. What is the cheapest way to get OS X?

The store, $129. Unless you are a student, then I think it's $69 or so. Nothing special is needed with the above setup to get it installed, since the guts are identical to the PowerMac towers.