When you have a long series like that -- A, B, C, D, E...X, Y, Z -- X would be third from the last, Y would be second from the last (or penultimate), and Z is last (or ultimate). If these represented, say, people in a line/queue, person Y would be the second from the end or the penultimate customer. The "bottom" would work for something arranged vertically, i.e. "the third exam paper from the bottom of the stack".

1) not sure I understand everything there but you can probably say, the first one, the second one and the third one / last one. 2) Why did you tell me that is the only correct way to ask a question among what you wrote. The "why you told me that" would be used in a sentence like, "I don't know why you told me that", it's not a question :)