Do Dain's bonuses apply to himself? I've been interpreting it as no, because he must exhaust to commit to a quest or attack (and would no longer be ready). Am I getting that right?

Right, Dain's bonuses apply to him right up until he does anything that requires exhaustion, such as attacking or questing.

So if you ready him via some card effect such as Cram, he can quest or attack AND buff himself as well!

If I can sneak attack a similar question: Do Outland bonuses count to the allies themselves? In other words, do "Knights of the Swan" give themselves +1 attack?

Yes, Outlands characters boost themselves. Knights of the Swan enters play, basically, with 1 attack, and if another is played they will both have 2.

Thank you all!