check out www.waterheaterrescue.com
Lots of info on selection of anode rods, and they sell them there, too. Some on this site have commented that the prices are a little high, but on the other hand they sell "segmented" rods which allow you to bend the rod to install it if you don't have a lot of headroom on top of the tank.
In terms of removing the existing rod - I got a socket at Sears and used a breaker bar and got it off without incident. If yours is stuck, you may need to use a "cheater pipe" (e.g. a length of galvanized pipe over the breaker bar handle). Some folks have also advocated using an impact wrench, but opinions differ on this.