1) There is a possibility, if something goes wrong, but very unlikely and you'd have to be very unlucky - providing you follow the instructions properly.
2) Define faster

Smoother / less of the "Android" jerkiness? Yes, if you flash a Jelly Bean rom it will be "buttery smooth". If you have an S3 there are people working on overclocking them, they've managed it on the US version based on the Qualcomm S4 chipset (S4 chipset is not to be confused with the next Galaxy S phone)
3) Depends on the phone, Samsung's are really easy to root & flash new roms - HTC's are trickier, though they have now provided tools to allow you to do just this - although it does leave a marker on the phone to say what you've done, but you may be able to flash over that, depending on the community support the phone has.
4) You WILL loose all apps & app data, so be sure to back it up using as many programs as you can, root first so you can backup app data too. NANDroid backups should let you restore to the state it was in when you took the NANDroid backup. You'll also loose any features the OEM baked into Android (SmartStay for one) unless the ROM is based on the original OEM rom...
5) Please read forums about rooting your phone and follow any advice given by those with the instructions. xda developers is great, but there are many other sites out there with information on rooting / flashing various devices, including YouTube & CNET.