I'm not exactly sure what you mean by "projects loaded within Project Web Access". However you can certainly link tasks between projects stored in Project Server. To do this, open the projects containing the tasks to link, then follow these instructions.
There are two ways to do this. Use the project dashboard site created from Project Server, or the one created by Team Foundation Server.
The standard way of setting up such a dashboard with Project Server is to enable project workspaces. This means that when a project is first published it would have a URL such as http://tdg-srv-006/PWA/My%20Project. This is where the project 'dashboard' site will reside, containing both your integration with Project Server and with TFS.
These workspaces are created from templates. They can be extended with your own design and web parts so they will always be created exactly as you'd like. For example, integration with Reporting Services reports that query the Project Server reporting database or Team Foundation Server is a popular idea.
Note that project workspaces already come out of the box with risks and issues. (These can also be linked to tasks and other risks and issues for a richer experience.)
For aggregation, within Project Web Access it is possible to create a view which sums the risks and issues from across all project workspaces and displays them in Project Center. When connecting to PWA, users are also prompted with the risks and issues outstanding that are assigned to them.
Team Foundation Server
Team Foundation Server also creates its own SharePoint site which you may prefer to use. This article on SharePoint Magazine should give you all you need to know. Again, you can set up Reporting Services reports that point to a TFS data source and display the results in your workspace. It just depends on whether you prefer to start with a TFS workspace or a Project Server workspace.
Both Project Server and TFS only install the free Windows SharePoint Services (WSS) by default. This means functionality such as the content query web part provided in SharePoint 2007 (MOSS) is not there. You can add SharePoint 2007 without any issues but it will cost you more.
The template approach that Project Server uses to create workspaces (and perhaps TFS as well) has problems. Firstly, Project Server will allow you to change columns and fields on the Risks and Issues lists but this will cause errors. There is a safe method outlined in the link earlier on my blog. Secondly, assuming you decide to change the template you will need to programmatically update every workspace within Project Server, including the template to make the changes. Not a big deal but a hassle nonetheless.
Finally add the Project Server / Team Foundation Server connector into the mix. This will ensure work item data in TFS is kept in sync with project plan data in Project Server. Note that it has nothing to do with creating a dashboard/workspace.
Yes you can, but it depends on the version of Project Server you are using.
Project Server 2007
This version introduced the reporting database. It is populated whenever a project is published. (You can query unpublished data by using the drafts database.)
Microsoft have provided a report pack which may already contain the report you need. It also contains many examples on how to use the reporting database.
The complete database schema is available for download in the Project 2007 SDK (look for pj12ReportingDB.chm).
Project Server 2003
As this is an older version there is less information available, however there are example queries from EPM Central that show how to query resources.
The complete database schema is also available from Microsoft.