What is this stucco-like finish called?
1) Yes.  It would probably be easier and more cost efficient to simply cover it (drywall, paneling) or fill it in with more stucco (requires more skill).

2) Brick or block.

3) Purchase a TV mounting kit suitable for your make/model TV and use masonry anchors (http://www.doityourself.com/stry/h2anchorconcrete) to mount it. 

Good luck!