Actually, X-2 won't answer a whole lot of those questions... because they're all answered in FFX itself!
Then Tidus appears to vanish, and a lot of questions go unanswered, like where did he go, was he ever alive? Was the whole game the fayth's dreaming?
Tidus was a dream of they Fayth, just like the vision of Zanarkand that he and Jecht came from. After the real Zanarkand was destroyed, the Fayth kept their memory of it alive, in the form of that 'dream world'; when the Fayth finally lost their power and were set free to the Farplane, the dream faded, and Tidus along with it. However, he's not entirely gone: just like other dead souls, he ended up at the Farplane, or so it seems... but then, at the end of FFX, after the credits, we see Tidus awaken in an ocean, which is what the Fayth of Shiva said would happen, a kind of 'thank you gift' to him.
Also they didn't explain much about Yu Yevon. Which dimension is he from? Is he dead or alive or what?
Yu Yevon is neither alive nor dead, neither dreaming nor awake... he's somewhere in between. He was once human - a summoner and the leader of Zanarkand; but then his homeland was defeated by Bevelle and many of its citizens died; he enabled the survivors to become Fayth, and from those Fayth he created the 'dream world'; he also created Sin, in order to punish the world for its rampant self-destruction. A thousand years of existing only to summon, dream and punish transformed him, though, much like others who died and weren't sent.

All of these answers come directly from FFX, but you have to explore for a while in order to find them. A few hints...
Before you confront the Final Aeon, head out into the real world and find Maechen, who's standing at the gate to Mount Gagazet. He'll be able to tell you a lot. Also, go back to all the temples (except Bevelle, which is inaccessible) and talk to every Fayth. They'll explain a lot.