My take on the situation:
As for the anomoly in the matrix: it is in the matrix by design. What the Oracle is given credit for discovering is the fact the the simulation fails if it is neccessary for the humans to be forced into being there. In order for things to run fairly orderly, the matrix must be designed in such a way that the humans can choose not to be in it. I don’t know what the technical reasons for that would be, but that is why Zion exists, that is where people that have woken up go. I think one of the Animatrix shorts deals with that, a human in the matrix wakes up spotaneously, with no outside interference.
Somehow, this built in imperfection will inevitably lead to “The One” exitisting, and what the One does is reboot the Matrix. The destruction of Zion is timed to coincide with the One’s arrival in the Core, and he is told that he must reboot the Matrix, or let everyone in the Matrix die. This is The One’s “purpose,” to clean the slate on the Matrix. But, like everything else, he must do this willfully. The machines forced the hands of all of the previous “The Ones” by destroying Zion and offering to let them re-found the city. Neo, however, goes off and saves Trinity instead of going into the Core to begin the re-booting process.
What is agent Smith? Smith has gone completely viral, and is trying to take over the Matrix, or the Core, or whatever he can. He is power hungry, and nothing more. I beleive that it is even more obvious after watching the trailer for “Revolutions.” You did stick around for the “revolutions” trailer, right?
Is Zion real? Well, there are two possibilities here. First, “the real world” is a simulation, but the simulatipon that those who choose not to be in the Matrix choose to exist in. It allows those who want to wake up, to wake up without really interfering. Everyone there still chooses to be “asleep,” as is required for the simulatiopn to function properly, but its really just a pit-stop on the way down the rabit hole. Those who are inclined to wake up get their curiosity satisfied, and they get an evil-empire to work against, so they don’t even question “Is this it?” Neo, however, has now truly woken up, but must still stabilize the Matrix to save everyone else.
Or, the sentinals have just been programmed to avoid killing Neo at all costs, as he is the only human worth anything to the machines. He is the One, the one needed to re-boot the simulation. Take your pick.
On preview: The dreams could be explained by the Oracle reading Neo’s pattern in the Matrix. If his entire brain is dumped into the broadcast, she should easily be able to pick through his memories, or even to have planted dreams during their last encounter.