Okay I understand the movie alot better now. Here is what I believe now based on everything that I heard and saw:
Donnie was supposed to die when that part of the airplane fell in his room but he managed to survive. This some way modified the reality and because of this anomaly, the world had to be destroyed unless Donnie was able to go back in time and let life continue on. During all the movie, he has to make up his mind. I don't think he was insane, he was just confronted with weird things and he didn't quite know how to handle them.
Frank, that annoying lady, Grandma Death, that physics teacher (Noah I think), Drew Berrymore, the guy that likes child porn, his doctor and Gretchen we're all there to help him make up his mind. In the end, he decides to sacrifice himself to save everyone. I think that all of those people knew what was happening because in the end, we see each of them looking sad & troubled. The physics teacher wakes up and looks troubled, like if he knew Donnie had done it. The annoying lady is crying. Frank also seems troubled and touches his eye (the one Donnie shot in the future). They all knew what had just happenned.
The thing I don't quite understand is why Gretchen, at the end, says hi to Donnie's mother and that the mother replies. The little boy is like "Did you knew them?", Gretchen replies "No.". Then they zoom on her face and she seems to be remembering some stuff and she raises her hand. I guess she also knew what had happenned and was just saying hi in a friendly way.