Good advice from Gary and Shane.
1) To me it burns about the same or a little less with good fire control. It will definitely depend on the brand, quality, etc. I don't like Cowboy (Whole Foods 360 is Cowboy). It burns pretty fast, smells funny and has a lot of old ball scraps in it. At least the stuff I tried.
The advantage to me is primarily flavor related. Again this depends on the brand/quality. I often will use no smoke wood and enjoy the subtle flavor left by the lump itself. After all it is hardwood. I've been using Humphrey's for at least 5 years. Pretty much exclusively at this point. I do really like Maple hardwood charcoal best, but it's pricey and not as readily available around me in steady supply.
Second, I like the incredibly small amount of ash by comparison to K or equivalents. I also like that it can still be used if it has gotten wet or damp. I also believe it gives me higher heat for grilling. I also think it lights easier/faster in a chimney
2)What is the cost difference between lump and K?
You can buy briquettes that are all hardwood. You might want to try those first. It will be clearly labled as "100% Hardwood Briquettes" This is typically less per bag than lump.
Lump will always be more than briquettes like K. You will pay anywhere from $10-22 a 20lb bag depending on how/where you buy and on what brand.
3)Where can I find it?
Some specialty stores, hardware stores, big box stores, etc. Or mail order if you just want to try a bag or different types. Mail order is expensive though. And lump is more expensive than K by the pound. I think Royal Oak is probably one of the most widely available better quality lump to find.
If you have farm supply, seed and feed or "rollermill" type places around you definitely check them out. Lump charcoal is used by blacksmiths, on farms, etc. I have found several places like this around me and by 10 bags at a time. In general if they carry it the price is wholesale as they by in pallets and aren't trying to upsell to a "gourmet" community, etc. I get Humphrey's for example at around $7-11 a bag over the last 5+ years. In specialty or retail stores it is typically $18-21 bag for 20lb. These places will drop there wholesale price a bit further if you bu 10 bags or more, do a group buy on a pallet (usually about 40 20lb bags) Don't forget restaurant supply houses - most of them around me have Royal Oak Lump and Briquettes in stock all year round.
I would just like to know what I'm getting, and how to utilize it before I go out and buy a bag.
If I were you, I would look at this resource to get some ratings and ideas as well as get a good reference to see what to look out for in your area
Anything you want to know about different brands of lump