Is there an free alternative to MAMP PRO?

Learn how to edit the Apache config file, then you can do anything you want. All you'll need is a text editor. I have MAMP free and just edit my config file as necessary. My Apache config for MAMP is located at /Applications/MAMP/conf/apache/httpd.conf. The file is well commented and you can Google any of the settings in there to learn more about them. GUI tools are a nice luxury, but we shouldn't be completely dependent upon them.

One of the problems with using the built in packages of Apache etc is that they considered system software and are routinely updated by apple's software update. Most of the time this is fine, But sometime if you have a lot of custom tweaks or version updates or want to use a very specific version you can sometimes get tripped up by the software update. So that is one argument for alternative package like MAMP which can be more precisely managed like a production evironment.

Plus if one is "learning" apache and PHP administration it is less risk to bork an standalone package like MAMP or Macports.

As for alternatives to MAMP, macports it useful. But also there is the Bitnami project

http://bitnami.org/

They have nice installers for specific application bundles, and a vanilla LAMP type environments. There is also a clean uninstaller which is nice. So experiment away and you don't have to worry about break system software or configurations.

Is there something wrong with the software already built-in?

The official MySQL distro includes a graphical start/stop client. It's a single button, in fact.

The built-in copy of Apache can be startted and stopped in the file sharing settings area. Combine it with a not-ancient version of PHP and you're set.