1. When you want to set off a sub-section of your sentence to embed another sentence or phrase, you can use commas, parentheses or dashes. For example: I'll meet you at the Starbucks -- the new one one Elm Street -- after class, okay?
If you are embedding an entire sentence -- and I've seen that used by fiction writers more than other types of writers -- you may be better off with parentheses, which give clearer signals to your readers where the embedded part begins and ends.
2. You can use one dash, but not to set off a sub-section with the rest of the sentence continuing afterwards. You would use that to show an abrupt change of thought -- and by the way, dashes come in two styles: em dash and en dash. (em is — and en is –, and we are talking about the em)
If the entire thing can be lifted from the sentence and the sentence would still make grammatical and logical sense (it would just have less information), then make sure that you have the punctuation of your choice on each side of that sub-section.
3. That's a matter of style. Personally, I prefer to leave a space so the dash doesn't look like an over-zealous hyphen, but some styles guides say to not leave a space. (If you prefer, they say not to leave.)
You can search on this site for em-dash, en-dash, and just dash for more information.