This is a question that should be answered by a search of the forum, as your individual questions have been covered in some for by previous posts
But, to give you a high level basic:
1. "normal" air filters are replacement filters that go in the stock location
2. Cold Air Intakes typically alter the actual air intake path in some way shape or form. Typical examples are replacing your airbox with a mushroom air filter and some tubing. A less than typical example would be speedybenz's custom fabricated modified airbox and tubing routed to the bumper.
3. Cost, effectiveness, and ease of installation are all variable based on two things, design and execution.
Start searching the forums and other online sources and after you've read up on why cold air is a good thing, and how to get it into your engine, you can evaluate solutions yourself, install them yourself, and report back to us on what works and what doesn't work.
What you want to avoid is installing something without having a clue as to why you're doing it, and without realistic expectations of what you'll get from it.
Too often, people will mod their cars with X "cold air intake" and end up actually losing power and drivability, as they have installed a poorly thought out solution which too often sucks in hot air at a lower volume than their stock box.
And at that point, all you can say is "it's for show"
And I don't know about you, but I don't mod my car to make it slower.