1. Is an ƒ 2.8 DX lens as bright as an ƒ 2.8 full frame lens, i.e. is there any loss of low light performance beyond that expected by the smaller sensor size?
f Stop is actually the ratio between your focal length and the size of the diaphragm that lets light enter your camera. No matter DX or FX, f-Stop numbers are the same. So for the same 35mm length and same f stop, the size of the hole letting light in is the same. Guess that answers your question.
2. Will a lens like the AF-S DX 35mm f/1.8G have deeper depth of field at the same aperture on a DX camera than a 35mm f/1.8 made for full format sensors when used on a full frame camera?
No, that is, if you compose the image the same. Lets say you're shooting at 85mm f/2.8. For a portrait with your subject at 10 feet, with DX, the DoF would be about 0.45'. Now, the same lens on FX would be 0.7'! However, to get the same composition on FX, you'd need to be at 6.66', not 10'. In this case, on FX, the DoF becomes 0.31'. So yes, FX sensors allow you to get a thinner DoF for the same image composition by about a factor of... gasp... 1.5!
3. I'm trying to understand if the aperture number on a lens like the AF-S DX 35mm f/1.8G means exactly what it says, or weather it needs correcting to a 35mm equivalent like the focal length (which is actually 35*1.5)?
Well, if you consider f-stop as a measure of DoF only then yes, one could correct it. But that is not true for what matters most out of f-stop, changing the amount of light hitting the sensor. Now, for the same ISO number (at that is the trick), using the same aperture, same shutter speed and same composition, you would get the same exposition from a D3S or a D90. The trick is that manufacturers set the ISO numbers accordingly in the camera (which really isn't a perfect science, DXOmark for one shows real measured iso numbers) so that these things match. This is why it is calle ISO for International Standard. It really is an adjusted value by the manufacturer to obtain a certain sensitivity standard.
However, the pixels in full frame sensors being much bigger, the gain applied to the CMOS electronics is lower (If you know electronics, this is like an OP-AMP gain). What is then improved is the noise performance for any given ISO because less noise is amplified in the process.
Well that's just my understanding...