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grub also gives you some sort of security. You can set up a password. The problem with lilo is that one can boot into single user mode without having the root password and can harm your system. You can be assured that this will never happen with grub.
(1) To understand run-levels, look at man init and examine the file /etc/inittab. (And /etc/rc.d directories.)
init is the first program that starts, and it runs all the time. What it does is to start all of the other programs, and to clean-up after programs that die. The "inittab" specifies the behavior of that program. The "run level" is a parameter that determines which inittab entries are to be processed. Various elegant things are thus made possible: rebooting, and shutting down, are both handled by switching runlevels.
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(2) Both grub and LILO are programs that are responsible for getting the Linux kernel into memory in the first place. Of the two, I find that grub is much more satisfactory -- largely because of its flexibility and because of the tools that it provides for your use "when things go slightly wrong."
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