I have a question that I cannot find the answer to regarding familiars, do they gain feats and skill points as they increase in power?

I don't think so:

Though nothing has ever been stated against having them gain feats.

Familiars do not gain feats or skill points beyond those that they start with. This is because they do not actually gain Hit Dice, but rather are merely treated as having a number of HD dependant on their master's level.
As Bbender pointed out, though, they are treated as having skill points that do increase, save only that those skill points are spent precisely as those of their master and overlap rather than stack with the familiar's own skill points.

Thanks guys, it just seemed strange that they are given benefits and skills but are not allowed to advance them separately.

If it's a priority for you, get yourself a Psicrystal, instead. They do gain actual HD, and the feats and skill points of their own to spend that accompany them.

Are those the psions use? not sure if just anyone can have them, there is a feat that lets you change your familiar for an animal companion is that the same scenario or do they gain skill points and feats?

Psicrystals are obtained by means of a feat (with a prerequisite of 'Manifester level 1st') and themselves advance as a product of all of their masters' levels in psionic classes.

An animal companion gains additional skill points and feats for bonus HD as normal for advancing a monster’s Hit Dice.

Psicrystal Affinity, to be precise.
Psicrystals benefit from manifesting classes, like the Psion.