1) A pair of tri shorts and a tri top, or a tri-suit. Tri tops and shorts are made to swim in, and the shorts have a pad in them like cycling shorts (though thinner). This is what you will see practically everyone wearing.
2) What distance race are you training for? For a sprint, olympic, or 1/2 I would say no to changing into a jersey (some may debate for the 1/2) Best bet is to wear a tri top. That way you swim, bike, and run in the same clothes. It it easiest to carry a drink on the bike.
3) No, clipless pedals are not required. Platforms with straps or cages are legal.
Congrats on diving in (pun intended) to this incredible sport! (For clarification/disclaimer: I don't sell triathlon equipment or services) We have tried to outline the mechanics of a triathlon, basic equipment, etc. on our site. The link is on my sig line. Finish Well!