It's sorta hard to explain, if you havent realised yet, I cant put anything i understand into words
Try watching the credits right to the end, that explains a lil bit, also talk to all of the Aeons in the Fayths, you can only do a lot of these once you have defeated a Dark Aeon. It is a while since i have played the game, but i think it is the Bahamut, or the Shiva Fayth (you need to defeat Dark Shiva to get here). They will talk a lot about what will happen to the "dreams."
I havent played it for 6 months, so i cant remember a lot of the stuff.
Also talk to EVERYONE in the game, and you can piece bits together, to find out more about the ppl, and dreams.