1. In our ordinary 3 dimensional world we don't have a fixed separate 2-dimensional space; we can imagine a 2-dimensional plane in any orientation, for an infinite set of possibilities. Just so our 3 or 4-dimensional world can fit into a higher dimensional world in any of an infinite number of ways.
There are two cases in modern physics where dimensions are distinguished from another.
In relativity, time is a distinguished dimension from three dimensional space; the math reflects this by having the time and space coordinates have different signs in the metric.
In string physics the dimensions are distinguished by whether they are compacted or not. Three dimensions of space and one time dimension are uncompacted as we experience, and the other dimensions are compacted to tiny shapes.
2. Yes, if there were a higher dimensional euclidean space, as I said above, a three dimensional space could be "embedded" as they say in an infinite number of ways, and two such spaces could coexist, either parallel or intersecting.
3. This is a well known theory within string physics. Imagine that our spacetime is on the "surface" or boundary of a higher dimensional "brane" (or space). Physics would constrain the three quantum forces (electromagnetism, strong, and weak) to act only within our spacetime, but gravity could also propagate into the "bulk" as the higher space is called. Because gravity also spreads outside spacetime, only a fraction of its strength is available inside spacetime, and this is given as the explanation of why gravitation is so much weaker than the other forces.