Yes, many newer GM vehicles can be a challenge for aftermarket installations; typically you have to find accessory power somewhere other than the radio harness, and you may lose some vehicle features such as door and warning chimes.
2002 isn't the magic year for all GM's, though. The Cavalier and Sunfire went to a data bus radio in the 2000 model year, while some other models (such as the Blazer and Grand Prix) switched much later or not at all.
As for the second question, you can use any GM double-din radio that uses a 32-pin harness. This would include many 95+ Buick and Oldsmobile radios, but no Saturn or Chevrolet radios (and I don't think any Pontiacs). Examples would be the late 90's Cutlass Supreme, Buick Skylark or Buick Century; any of those radios should work in your Alero, assuming the Theftlock system isn't activated.