1) Most states have a roughly 50% rate of return on scratch-off tickets. Some people here will tell you it's better to play the pick 4 or 5 drawing games, etc. It all depends on what you want. The pick 4 games will have better lower tier payouts, but the money is not life-changing so I don't care to spend the money. I play $10 to $20 scratch-off tickets because I hope that if all the stars align properly, I can hit one of the $1M or $2M prizes which would be life changing money. Although the lotto, Powerball and MegaMillions have large jackpots, you will never win them, ever.
2) It does not matter where you buy the tickets. Nobody can tell you where the winners are. The only reason that large grocery store chains have more top prize winners is because they sell more tickets. Their share of top prize winners is no greater than anyone else.
3) It does not matter. Buy where you feel luckier.
If you do continue to play, you should decide whether you want to play the $1/$2/$5 games or go for the $10/$20/$25 games. The higher price points typically have better overall payouts, but you can lose money a lot faster because the tickets are more expensive.
As with anything, stay within your means. The only other meaningful advice I can give you is that if you do get a big win (e.g., $500 or more), keep the cash. You are going to feel the overwhelming desire to buy more tickets thinking you are going to repeat your success. But it almost never happens and when you realize it, you will have spent more than half of your big win trying to chase the next one.
In any event, good luck and I hope you hit a big one.