You can use Milkshape for all three tasks but I highly recommend you try Ultimate Unwrap (the "big brother" of Lithunwrap) and CharacterFX. Personally I don't think Milkshape is good for anything; I use Wings3D for modeling.
The b3d file format supports skeletal animation so yes. You could use md2 instead but b3d is better.
The b3d file format supports skeletal animation so yes. You could use md2 instead but b3d is better.