1. How do you get/purchase BU rolls of coins?Banks sell coinage in your area. Most of the time they require you have an account with them. But when you go out of town you might try to buy rolls in other areas.
2. What is considered the most sought after type of coin error? I assume this is individual specific...Loaded question. Depends on what you consider errors? There are actually three different types of coins to search for.

I prefer coin varieties. They includes doubled dies and RPMs. These are the ones I search for. Mint errors are more of a one off thing. They are not found easily, but found rarely. Die events are common and most don't bring a premium for them. New collectors search for these types, but after looking for some time they will realize how common they are and stop saving them. Then move more into the variety coins. Damaged coins that people post all the time are just face value coins. Damage to a coin is not a good thing. They look different but were altered by someone outside of the mint trying to create coin errors, but then they fail, they just spend them.
3. What coin error type is considered the most valuable?True mint errors are often have the higher value, but most stick with coin Varieties.
4. I noticed several folks say they have ordered rolls or boxes of rolls of coins from different states...how do you do this? Do you order them from a bank or ?Buying rolls of coins are often done at local coin shows. They will be sold as a premium, not an even exchange like bank roll coins. I've paid as much as $100 for a roll of cents. other times as little as 75 cents per roll of cents. You are at the mercy of the seller of the coins and have to consider what they do/do not have. The most entertaining searches are on local coin shows. As you never know what you will find. Coin shops sell coins also, but you might not be able to search through the stock until you have dealt with them for a time.
ebay coins are shots in the dark most of the time. Until you learn what to look for and figure out what the bottom feeders are trying to sell you, you are at their mercy. Best to spend more time here to learn what you want to collect. What are the ups and downs of coin collecting. Also you will learn that not all coins sold for a premium are what you might not want later. So get the basics here as what to look for and determine what you as a collector needs to know and want to know about. Hope this helps.