1. A watch tower, which I recall went by the name Amon Syul.

2. There was a stone that said G3, G is the first letter of the name Gandalf, and 3 means 3 days ago, according to Aragorn.

3. When Frodo puts on the Ring, he basically becomes a target for the Black Riders, which he can also see clearly.

4. If he isn't saved in time, he will become a Wraith, except weaker and under the Ringwraiths' control, except that they are controlled by Sauron, so basically he would get controlled by Sauron.

5. It's magical water, and Gandalf added a little effect of his own (The white riders with white horses).

6. He is the Ring-bearer, and the heir of Bilbo, the Ring-finder. 

7. If it were too late, Frodo would have turned into a Wraith.

8. He was captured by Sauron's sidekick, an ex-friend of Gandalf. That would probably be in the dream that Frodo had earlier.

9. I have no comment.

10. The Nazgul is simply another name for the Black Riders, or the Ringwraiths.