Well PTO winches are cheap when you can find them. The actual PTO to drive it is not unless you get a great score on a used one that will match up to your transfer case or transmission. Beyond that you'd have to make a driveshaft to power the winch. Alternatively you could do a hydraulic winch (more $$$) with a hydraulic pump on the PTO ($$$). Either way a hydraulic setup probably wouldn't cut it for high speed winching.
Granted a PTO winch would give you what? 10 gears? 12 maybe since I believe the new trucks use the ZF6 trans? Either way to pull a wakeboarder you're only going to use 1 gear... Whichever one gets you at the right speed at an acceptable RPM (a high idle would probably be sufficient to pull a wakeboarder smoothly at speed).
As for a smooth start, just be real easy letting the clutch out. Would take a driver with some finesse to not yank your arms out starting in a high gear as it won't take much to accelerate to speed, and starting in a lower gear and shifting would be kinda rough on the rider. So yeah, neat idea but I don't think it's really practical.