CAN bus analyzer

  1. A Mega will be fine, and will give you plenty of scope for expansion.
  2. Those two links point to the same shield. Sparkfun stuff is generally ok. I can't speak for that device specifically, as I don't have one.
  3. When you connect the Arduino to the PC via USB, it creates a virtual serial port. You will need something on the PC to see the output from the serial port. This can be as simple, or as complex as you like. The standard speeds supported by the serial port go up to 115200 Baud, but I believe it can be made to go faster.
  4. The easiest LCD option is probably a serial connected one. As the Mega's have four hardware serial ports, adding one will be fine. The shield will only cover half(ish) of a Mega. EDIT: The Sparkfun shield has a socket to connect a serial LCD.