It cost four hundred thousand dollars to hire this animator for twelve seconds.

I believe you can use light gobo textures (like a projector).

I believe it is, but it's currently only a hidden feature, buggy and all that.

http://facepunch.com/showthread.php?t=1241804

Excellent idea. xD

Each muzzle particle is separate, even in the game itself. You will need some ridiculous amounts of particle sets. If the gun muzzle stays at the same position and rotation throughout all the shots, simply copy and pasting the particle sets would do.

I really don't know about facial motion capture on TF2 models. The facial mocap you see on many games and films nowadays are possible because the models themselves use facial bones instead of flexes (or shape keys or blend shapes, whatever you want to call them). Facial bones can be tracked through mocap, which is something that, I believe, isn't possible with flexes.

Introduction to SFM:
https://www.youtube.com/playlist?list=PL2B46DEB4157E67C4

Custom models will require an external 3D modelling program.

Here are the usual ones:

Free software:

Blender (Use after being familiar with 3D modelling):
http://www.blender.org/
MilkShape 3D:
http://www.milkshape3d.com/
KHED (Probs start off here for you, easiest to use):
http://khed.glsl.ru/

Paid software (Usually harder to use, just more functions. Usually cost a lot):

Autodesk 3DSMax:
http://www.autodesk.com.au/products/autodesk-3ds-max/overview
Autodesk Maya (My pref):
http://www.autodesk.com.au/products/autodesk-maya/overview
Cinema 4D (Studio version linked):
http://www.maxon.net/products/cinema-4d-studio/overview.html

Custom maps will require the use of Valve's Hammer tool, included in the Source Filmmaker download. hammer.exe should be found in [Path to Steam]\steamapps\Source Filmmaker\game\bin\.

Learning to scene-build would be quite important when making films. The use of a map in the Source Filmmaker makes it so that it's not absolutely necessary, but doing so offers more creative freedom.