Welcome to the site. I bought an Offical Wiikey Chip from XboxModchips.com. I also Bought a Clear Blue Case that lights up for my Wii. You can see it in my Avatar.
I think any site would be fine to order the Wii from just make sure everything looks legit. I choose mine because of price, price of chip and case was the cheapest deal.
The mod chip will work on any country format, as the chip is not on the computer as much as it is on Drive. The only problems you might arise is the system, there is 3 versions and one is ez to mod, the second is a little more tricky and the third as of right now I think is unmodable. I personaly do not know how to tell.
The wiikey cannot be detected threw nintendo's online connection, this is because of placement on the board, all the rumors are false and I would not worry.
Now if you wish to play a NTSC game on your PAL Wii I would be careful and I would be very hesitant as you can cause you system to brick. Meaning the system is as good as a brick.
Anyways as I have typed this essay, do your research. I did and I found the WiiKey was the choice for me and I have been very happy since.