1. What's a good way to "come out of the closet?" So to speak. 
My whole life I've only told two people, the first being someone I met while visiting a relatives house in another state, he was wearing a tail so I thought I could talk with him, and I was right. He was also furry and we had a nice conversation. But that was it. The second person I told is a very close friend, and I was only comfortable bringing it up after we had an hour long heart to heart, and while he didn't judge me for it, I can tell he doesn't like me bringing it up (even in a joking manner) so my second and third question is this:   

Most non-furry people aren't incredibly open towards people of this fanbase because there's a lot of weird people in the fanbase and they've put a bad name on all of us. I'm sure there are people that are open towards it, but generally your run of the mill person is going to find it a little odd that you have some sort of animal "spirit" or alter ego, whatever you want to call it.

2. Why do I always get along more with Furrys? Even if it's the only thing we have in common, I still like them more then most people  

Probably because they have the same interests as you and can relate to you in some way or another, and are less likely to judge you. 

3. I'm not sure if its just the people I've met or if a good chunk of the world is like this, but why are so many people unaccepting or at least uncomfortable around Furrys?

I'd like to think it's because they think we're all into the creepy yiff and fetish porn, and well, we make it pretty obvious to others too (at least some of us do :| ). It probably also has something to do with the fact that it's porn of anthropomorphic animals (which albeit is strange to some people) and the fetishes that we tie into it (being collared, growling, dressing up in fursuits, a lot of us are gay and -really- open about it). 

This is just my opinion, but hopefully it sheds some light on your questions.

1.  First off you don't need to "come out of the closet" as pertaining to the furry fandom.  It's a hobby, a passtime, a fandom.  I never understood the idea that people need to express furry pride or feel obligated to break down to their friends and confess they're a furry like it's some huge bombshell and weight they need to get off their chest.  If you're so deep and obsessed in the fandom as that, you may want to rethink some things.  If I were you I'd just keep that information to people who might actually be interested to know about it.

2.  This is very common actually.  I'd say the reason is because a lot of furries feel like they walk on eggshells all the time about being a furry and don't want to tell anybody about it.  It can be exciting to meet someone who shares the same hobby as you and wants to talk about it.  Personally I don't get along all that well with a lot of furries.  It was cool at first to meet some others when I was getting into the fandom, but after a while you start to understand it takes more than just sharing one hobby to be friends with someone and the friendships I have aren't centered around the fandom at all.  Even if thats where they started at first.

3.  Furries = people, and people can be unaccepting.  The furry fandom is not some circle of acceptance where we all hold hands and sing about unity, its about the common like of anthropomorphic characters.  True we have a large LGBT population but there is no all encompassing message or goal in the fandom; it is just a fandom afterall.  In my opinion its just another side and if you show a differant view from a furry your just as likely to be rejected as if it were someone "mainstream".

Spor said:
1.  First off you don't need to "come out of the closet" as pertaining to the furry fandom.  It's a hobby, a passtime, a fandom.  I never understood the idea that people need to express furry pride or feel obligated to break down to their friends and confess they're a furry like it's some huge bombshell and weight they need to get off their chest.  If you're so deep and obsessed in the fandom as that, you may want to rethink some things.  If I were you I'd just keep that information to people who might actually be interested to know about it.

That's a really good way of looking at it. It should be a facet of your personality and self identity. I think a lot of the folks who give the fandom a bad name are a bit out of balance that way and it has become an unhealthy percentage of who they are. But I know Star Trek and Star Wars fans who have the same problem.

I've told some of my friends who I think would be interested and in fact a few of them have joined the fandom. I have a good friend who is very religious and conservative who believes the world to be only 2000 years old but is one hell of a great guy so a conversation about my anthro wolf alter ego would likely do more harm than good to an otherwise great friendship.