Here you go:
I hope this is some use to you, if you get as far as wanting to set this up on your own server.
In the meantime, some answers to your other questions:
I use Linode. They’ve just introduced a $5/month VPS, which is a good price.
You might run into CORS issues there, because your comments [which are presumably powered by Javascript] are being served from a different domain. You can get round this by twiddling with the response headers your site sends [sorry, can’t rem the technical details at the mo] or by embedding your comments via an <iframe> [which is how Disqus does it]
Yes. If the comments are coming from a different server, you’d have to map a subdomain to the IP address of the other server.
Isso is a Python application. As a humble web server, Nginx can’t directly run Python code itself. So whenever any requests come in for parts of your site [ie. the comments] which need to be handled by Python, the proxy settings tell Nginx to pass those requests over [ie. ‘proxy’ them] to Isso instead. Then Isso processes the info and sends it back to Nginx which displays the results [ie. your comments] on the page.
Covered in my blog post I linked to. Not that complicated to set up, but for that [and most of this stuff, in fact] you would need admin access to a server.