Unfortunately, yes, this is a constant problem.
As you've found, you can blacklist them. This helps with the ones spamming the /shout channel in cities, as they tend to keep spamming their message over and over and over for quite a while. It's less useful for the ones sending /tell messages to you directly, as most of them tend to send a couple messages to everyone on the server and then switch to a different character so they can repeat the process. (The blacklist is, unfortunately, set to blacklisting the specific character and not all characters on their account, so switching characters is all they need to do to get around it.)
You can also report them to SE. Gil selling and the spam advertising it are against the ToS, and SE will eventually get around to banning their accounts. The reporting feature is really cumbersome, though, requiring you to fill out an entire form describing the issue rather than pulling all that info from the game itself, so most people don't bother.
You can use the command "/busy" to set your online status to a mode where nobody can send you tells, trade with you, invite you to a Party, FC, or Linkshell, or send you a Friend Invite. Obviously, that cuts you off from a lot of contact with other players, but it's an option for when the spam gets frustrating enough you'd rather isolate yourself than deal with it.
(As it currently stands, none of these are really good solutions, and a lot of us are getting pretty frustrated with SE's unwillingness to implement anything better. You can see that frustration in a number of threads over in the General Discussion forum.)
That's rather hard to answer, as the economy varies between different servers. From what I understand, the older more highly populated servers generally tend to have a lot more inflation than newer lower population servers, though I don't know whether that's true in every case.
How dependent you are on the economy also depends quite a bit on your playstyle. Nobody is selling anything you couldn't get or make for yourself if you're willing to put the time into it, so if you decide things are just way too expensive you can go the self-reliant route. You can get into crafting and make your gear rather than buying crafted gear, gather your own materials for it rather than buying them, spiritbond materia rather than buying it, and so on. Of course, not many people have the patience to (or interest in) doing that for everything. You'll need to find your own balance point between how much stuff to earn/make/farm on your own and how much stuff to just buy.
If prices on your server are inflated, and there are at least some categories of stuff you want to buy from the Market Board rather than get yourself, then you just need to find other things you can farm, gather or make to sell on the Market Board. An inflated economy on the stuff you want to buy is likely to be balanced by a similarly inflated economy on the stuff you sell, so you should be able to make the gil you need that way. (If prices on your server aren't overly inflated, this may not even be necessary, as the normal returns you get directly from quests/FATEs/dungeons, etc will cover a lot of expenses.)




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