While this question may end up getting moved to Programmers or the Apple site, as it's more about Apple's approval process, there is a technical component here so I'll bite. We are currently working to build an MFi-approved iOS accessory and are in the early stages of hardware development. I comment on some of this in my answer to a similar question over on the Apple Stack Exchange site, but I'll expand on that to answer your questions here.
For your first question, there are no upfront fees to join the MFi program. Your device will need to pass a standard series of third-party tests to demonstrate that it won't interfere with the iOS hardware, etc., and you will need to pay a testing provider to perform these. I'd budget about $20,000 - $80,000 total to get a simpler accessory to a production-ready design, depending on the complexity of the electronics, whether or not you use outside contractors for design, etc. This includes testing, design, and hardware costs for various prototypes.
Apple will want to see that you are serious about making this a product, so don't just have a vague idea of something when you apply to join the program. Have a specific product in mind, with a known target market and approximate pricing. In short, have all the design legwork done as if you were going to hire a contractor to design this, and have a coherent business plan behind it. The approval process eased up significantly about a year ago, but you need to be able to answer pointed questions about what you're building.
You will need to be a company for them to take you seriously. Luckily, it's fairly easy and cheap in most U.S. states to set up an LLC with just a few initial members.
The information in your last question is under NDA, but once you are in the MFi program you have access to all relevant documentation. Of course, the software side using the External Accessory framework is public for anyone who is in the iOS Developer Program, and they had a good WWDC session on it last year (Session 201 - Developing Applications that work with iPhone OS Accessories).
