I always thought Dream Zanarkand was just that....a dream. But Yuna and Jecht and Tidus all speak about 'going back' there...so DZ is an actual location, just no one knows where it is? I think it is in Sin or part of Sin, because Auron had to 'ride Sin' to get there...When you're fighting Sin before you go into its mouth you see what looks like a miniature city on its back. That's what gave me the idea that DZ must be somewhere where Sin is. But it's clearly being summoned by the fayth at Mt. Gagazet right?

And yes Jecht is a dream the fayth say so themselves: "you, your father, your mother...all dreams" (when Tidus collapses at the Mt. Gagazet fayth). I think that particular fayth (Bahamut) perhaps is responsible for the creation of Tidus, i.e. Tidus's guardian fayth? Because it is he who appears to Yuna at the end of X-2 and says he will continue dreaming for a little longer.

But there's no doubt that Jecht's a dream in the same way as Tidus, but the contact with the living entity of Sin and being tangible in Spira made them more than just dreams. However, they still relied on fayth to keep them alive. That's why with the destruction of Yu Yevon, the fayth ceased to dream and they vanished.

When Tidus wakes up after the credits he is clearly not in the Farplane (as that scene is intergrated into the perfect ending of X-2, making him technically below the waters of Besaid). However Yuna never goes to the Farplane in X-2 to see if he will appear so that's another question mark.