1) Are things better? That depends on where you look. On the one hand, we just got 4.4 drivers from NVidia, and some of the ARB extensions in those include features that won't hit DirectX until 11.2... On the other hand, many parts of the OpenGL API move VERY slowly, meaning old concepts stay in use longer than they would in DirectX. (For example, it is just now kinda-sorta-almost getting away from the concept of working in terms of bind points for textures and buffers.)
2) I've been using NVidia's parallel NSight to debug on windows, and it's worked pretty well for me so far (Visual Studio + Nvidia cards only, unfortunately). I have used GDEBugger in the past, but the original version died out, was picked up by AMD, and now exists as CodeXL. I can't comment on its newer incarnations, but historically it served well enough. It appears to run without VS, but probably requires an AMD card and Catalyst driver. Most of the open source projects on this front seem to have died out, unfortunately.
3) I personally am a huge fan of Sublime Text for coding. It's a bit more of an editor than an IDE, and It's not free ($50 and worth every penny imo), but it's got an unlimited-length trial period, so you could learn it while saving money and not have a period where you're stuck without an editor. For Windows in particular, the express editions of Visual Studio have served me well over the years and are completely free.
4) I originally learned on DX9, and have since mostly used OpenGL due to jobs. If anything I'd say it feels like they are converging more and more, and the underlying concepts are often the same even though the APIs are laid out differently. You'd only stand to benefit from making the transition, even if you went right back to DirectX afterwards.
5) I can't give any real recommendations for books, but I have thumbed through the OpenGL SuperBible, and it seemed reasonably thorough. The newest (6th) edition claims to cover up to 4.3, and will be out in a few days. Hopefully someone else here can speak to how useful it is for learning.