Does Windows 8 come with a boot loader? Like Lilo or Grub? Or do we still have to use a third party one?
Windows 8 has an custom boot loader that locks the pre-OS environment using UEFI. LILO nd GRUB are FOSS undertaking and Microsoft uses a custom(not a third party) boot loader.
Windows 8 boot loader uses UEFI while grub and lilo will run any OS. The Windows 8 bootloader is a lot more secure too.