Question: Why is Anya scared of bunnies? Or do we never find out?
Answer: It goes back to when she was human, just before becoming a vengeance demon. She used to love bunnies, but I guess afterwards she always associated them with her boyfriend cheating on her, and her turning into a demon. This is shown in the season 7 episode 'Selfless'.
Conversations With Dead People - S7-E7
Question: Is Dawn's experience in this episode ever explained? Is it really their mother, or is it just the First messing with her?
Answer: Dawn's experience here was meant to be a teaser for original plotline of season 7, intended to explore Dawn's Key-ness and how it affects her place in the universe now that it's gone. However, when SMG left the show, the writers were forced to pursue a different plotline to give viewers a satisfactory ending. So it was supposed to be Joyce when the episode was written, but subsequent reinterpretation implies that it is actually the First.
Chosen answer: Joss Whedon wanted something in there that was totally inexplicable. The Cheese Guy fit the bill rather nicely.
Tailkinker ★