Like all of the characters in the film, little is known about Dylan's background before the events presented therein. We're told that he was likely born and raised in New York City, that his father was a stage magician who was exposed by a debunker when Dylan was a child and killed a few years later during a trick that would have been part of his comeback, and that after that, Dylan was changed, becoming obsessed with getting back at the people and institutions that had, in his mind, caused his death, but not much else. Therefore, in order to fill in the gaps in his history, and drawing from both canon and head canon, the writer assumes the following:
As canon suggests, Dylan was born and raised in Manhattan, though not as Dylan Rhodes, but as Jacob Shrike, to Lionel Shrike and his wife. His father was a magician, notable enough to have made the pages of several books on the history of stage magic and command the use of 5Pointz as his personal rehearsal space, and a member of the Eye, a covert organization for truly talented magicians. He doted on Dylan, letting him help with his tricks when he could, teaching him the fundamentals of magic under the assumption that he would one day follow in his footsteps, and generally making sure his home life growing up was stable, good and loving.
This continued on until Dylan was likely about ten, when Thaddeus Bradley, a former magician turned magic debunker, targeted Lionel as the focus of his first TV special. Lionel, all his tricks revealed, fell out of the spotlight, largely regarded as a fraud, and for the next year, became obsessed with regaining his renowned. In the end and as part of what was meant to be his grand return, Lionel locked himself in a safe and had it dropped to the bottom of the Hudson River. Rather than escape as he had planned, however, and recapture the hearts and minds of the country, the safe warped when it reached the bottom of the river, trapping him inside, and Lionel eventually, presumably drown. The Shrike family was left without a dime to their name, the claim on the life insurance policy Lionel took out in case of accident denied by the people that had issued it, Tressler Insurance and Credit Republicain du Paris, and Dylan was left without a father, the latter of which he took badly. Very badly.
Over the next few years, he developed something of an obsession with getting revenge on the people he had felt wronged his father, and began to develop a plan to have it, likely immature at first, considering his age, but gaining substance as he grew older and more bitter. He was helped along by the Eye -- which he was tested and passed initation for when he came of age, taking up his father's former place in it -- who provided resources and monetary support, and the creation of his persona, Dylan Rhodes.
As Dylan, with the Eye's backing and as part of the plan, he went through the process of legally changing his name and hiding all evidence that he was or had ever been Jacob Shrike, and put himself through college at Rutgers as a criminal justice major. Shortly after graduation, he went to work for the FBI, began working his up the chain of command there, knowing that he would need the reach and the presence provided to him by the job, and continued to plot against his father's murders. He sacrificed much, more than he would care to admit to -- the chance at a home life and a family, the chance to become a magician like his father and come home to the Eye, the chance to be himself and not just the character he created -- but some thirty years after all of this had started, he had something solid. Something foolproof. He just needed someone unconnected to him to carry the whole thing out. Lucky for him, he had a few people in mind.
Enter the Horsemen. (Also the start of the movie, for anyone keeping track.)
After having looked into four promising magicians (J. Daniel Atlas, Henley Reeves, Merritt McKinney and Jack Wilder), he traveled the country to track them down and covertly leave them each a tarot card (the Lovers, the High Priestess, the Hermit and Death, respectively). Each tarot card contained a time, place and the Eye's logo (a stylized representation of the Eye of Horus), and lead them to his former home in Manhattan. There, and after a series of tricks designed to both start making them start working together and ensure that he didn't physically have to be there, lest he blow his cover, he revealed his idea to them.
Over the course of the next year, they would put together three magic shows based on his plans, each ending with heist of some sort and each designed to cripple one of the organizations who had contributed to his father's death. The first was set in Las Vegas and involved stealing a few million dollars from Credit Republicain and giving it to the audience as its closing act. The second, in New Orleans, targeted Tressler Insurance and its namesake, Arthur Tressler, and would pull all the money out of his accounts and give it to those he had victimized by denying the insurance claims of. And the last show, in New York and specifically at 5Pointz, to steal another few million from Alcorn, a safe manufacture turned security firm who had made the substandard safe his father drown in, and use it to frame Thaddeus Bradley as the mastermind behind it all. They would keep none of the money, they would kill no one, and in return for all their hard work, at the end of it, they would be allowed entrance into the Eye.
The group agreed, named their act the Four Horsemen, as suggested by Dylan's plans, and went to work.
After the first show, and again as planned, the FBI was called in to investigate the theft, their efforts spearheaded by Dylan himself and Interpol agent Alma Dray. The Horsemen were arrested, interrogated by Dylan -- who none of them realized they were working for and therefore taunted mercilessly -- and eventually released when it turned out the FBI had nothing concrete to hold them on. Dylan, feigning interest in finding something to go on in his efforts to catch and imprison the Horsemen, went on to have lunch with Alma and Bradley, under the pretense that, since the latter had been there during the show, he could shed some light on the situation. In all actuality, however, this was likely Dylan's way of making sure Bradley got involved and stayed that way so the Horsemen could bring him down.
Either way, after their meeting, Bradley showed Dylan and Alma how the Horsemen had probably managed to rob the bank and offered him a flyer for their show in New Orleans, suggesting that they weren't done yet. Dylan, still playing the dutiful G-man, and Alma followed.
The second show also a success, Dylan pretended to chase after them when they made their escape, only to not only lose them in the end but to also be publicly humiliated when first he was tackled by members of the crowd who had been hypnotized during the show and then again when, after using a tracking device to follow them, he turned out to be very literally chasing his own tail, the thing rigged to track him and not the Horsemen. The group in the clear, Dylan retreated to a bar, presumably to drink away the memory of his failure -- though it was more likely a toast to everything going the way he'd planned it -- only to be assaulted by Alma who, tired of his apparent dismissive, drunken bullshit and the fact that he grabbed her arm and wouldn't let her go, very literally opened up on him. It was kind of a mixed bag of a night for him. Particularly considering the fact that, before she stormed out and left him to get back to their rooms on his own, he noticed notes on the Eye in a notebook she had dropped in the scuffle and a book on them in her hands, when he finally did get back.
Wary, the next morning he apologized to her for his behavior and then proceeded picked her brain about the Eye and Lionel Shrike, telling her that he was in over his depth. She explained what she knew -- which wasn't much more than common knowledge and speculation -- and, after the conversation drifted towards a discussion about the ideas of faith and belief in things beyond what one can see, the two almost kissed. Their moment, however, was broken up by Dylan's phone going haywire. As it turned out, the phone was a clone and had been bugged and swapped out by Daniel when Dylan dropped it during his interrogation, and that accounted for how the Horsemen had been managing to stay one step ahead of them.
Acting as though this revelation now gave them an edge over the Horsemen, Dylan ordered his real phone tracked, and went to confront the Horsemen at their home base in his childhood home. Daniel, Henley and Merritt escaped, while Jack stayed behind to destroy any evidence they'd left in the apartment, and ultimately, Dylan and Jack fought. Dylan lost, albeit intentionally so, and Jack fled, hijacking an FBI car outside to make his exit. Dylan, Alma and the rest of the FBI followed, leading to a high speed chase across the city and ending with Jack's apparent death in a car crash. This, as mostly everything else save perhaps Dylan's attraction to Alma, however, was just another part of the plan -- he needed Jack out of the spotlight for awhile to take care of some other business -- and he acted the part, running in in a effort to save him only to have to give it up a moment before the car exploded, albeit not before grabbing some of the evidence Jack had planted for him.
The papers from the car leading to the Horsemen's next target, millions of dollars kept in a warehouse by Alcorn, he and the FBI continue to pursue the Horsemen, only to be made to look the fool again when it turned out that they had already gotten to the safe, and the money within thanks to Jack, and gone onto 5Pointz. One final attempt was made to catch them there, with the Horsemen ultimately getting away and the money from the safe ending up in Bradley's car, and then Dylan finally got to put a collar on someone, the evidence he had his team plant more than enough to implicate him as the mastermind behind the whole caper.
Plans at their end, Dylan then went to see Bradley, who insisted that he'd been framed, that he knew how the Horsemen had done it, and that he had information to trade, in his cell. For the most part, Bradley's perception of events was right -- he'd known that Jack wasn't dead, how they'd gotten the money out of the safe, and so on -- but he'd missed one crucial detail. Namely, the fact that Dylan was behind it all, and there and only to Bradley, he revealed himself, telling him that he wanted him to spend the rest of his life trapped behind four walls as his father had and that no one would believe him if he tried to lay the blame on Dylan.
Upon leaving Bradley to rot, Dylan then traveled to Central Park, to a memorial to one of his father's greater tricks known as the Lionel Shrike Tree, where he met the Horsemen and revealed himself. As promised, he welcomed them into the Eye, got onto the nearby carousel, expecting them to follow, and then very literally disappeared. Later, in the final scene of the movie, he traveled to Paris, met with Alma Dray and revealed himself as the mastermind behind the Horsemen's crimes. She accepted this, promised not to turn him in, and so the two rode off into the sunset. Metaphorically speaking, anyway.
Following that (and moving into the realm of his CRAU), Dylan returned to Las Vegas briefly, only to be suspended from the FBI pending the results an Office of Professional Responsibility investigation into the Horsemen debacle. This, however, is part of wrap up of his plan, and after spending two weeks in New York with the Horsemen, whom he'd left there following their induction into the Eye, getting to know them, Dylan returned to his day job. He still found time to spend with them afterwards, however, both coming home to them in New York after a day's work, more often than not, and finding time to harass them as Dylan Rhodes, when he could. He introduced Alma, now his girlfriend, and his surrogate sister and fellow magician, Miranda Vale, to them, taught them how to begin using their new-found magic, and revealed his real name to them.
This continued for some time until Dylan was called into his boss' office, as apparently, as part of him getting his job at the FBI back, Dylan was required to submit to a psych evaluation. As it turned out, the doctor that OPR had supposedly sent was not anyone with any official standing -- instead, he was a mentalist with a grudge against the Horsemen, Robert Torre. Having already started subtly influencing the Horsemen to work against each other, he locked Dylan in his own head, forcing him to believe he was the persona he had created, the FBI man, the one with a grudge against the Horsemen, and nothing else and turned him loose on the Horsemen. If they didn't destroy themselves, Dylan would, he figured, and so Dylan set to harassing the Horsemen in earnest. After one such meeting, Merritt, realizing something was wrong, worked with Jack to corner Dylan long enough so that he could get into his head and free him. Together, then, they subdued Torre and returned the favor, all but literally breaking his mind so that he could never do harm to anyone else ever again.
Following that, Dylan and the Horsemen were left to pick up the pieces and undo any damage they had all done to their friendships. They managed, stronger for it in the end, and life continued, Dylan growing closer to the Horsemen and vice versa. And then there was this. The writer seriously isn't going to try and explain it. Go read it. Done? Good. Anyway, in the aftermath of that, Jack found a Eye-owned and operated hotel in Cancun for the Horsemen, including Dylan, to get away to. Rather than end up there, however, Dylan instead arrives on the islands.
Thanks to his status as an FBI agent, and being the mastermind behind the Horsemen's crimes and, on occasion, a magician, Dylan has a wildly varied skill set. The saying "jack of all trades, master of none" comes to mind, however, in relation to his skills -- he knows a little about a wide range of subjects, but he will never be as good as, say, someone who's dedicated their life to one specific thing.
That said, Dylan has all the training one might expect from an FBI agent. He knows how to fire a gun and can do so with decent accuracy, understands the legal process (how to question a witness, how to collect evidence, how to testify in court and so on), and can hold his own in a fight, favoring a mix of Krav Maga and Jujitsu, in such situations, as those are considered to be staples of FBI hand-to-hand training. He also has some command expertise, having lead more than one investigation as the special agent in charge over the years.
As the Man Behind the Curtain and a magician, Dylan has an understanding of architecture and art, as seen in the designs for the Horsemen's shows and sets, and it is the writers personal belief that he holds an interest in both, wholly unrelated to his plans -- to the point where, if his father hadn't died or he hadn't chose to avenge him, he would have become an ingenieur, architect or artist of some stripe. He knows the fundamentals of magic, from sleight of hand (as is seen when he palms and "drops" his phone for Daniel during his interrogation), to how to slip a pair of cuffs, to how to design a successful stage performance. He also knows how to make himself hard to read, both in terms of body language and facial expressions, to a point where Merritt, the group's mentalist (one who had been practicing for decades and is damn good at it, according to canon), didn't realize Dylan was their benefactor when they interacted and, in fact, had trouble getting anything off of him. On the flip side of that, Dylan also has a knack for reading people, himself, and can and has used that to his advantage to lead or turn a conversation to his benefit.
Finally, as a matter of head canon, the idea of real magic (that is, beyond simple misdirection and illusion) is mentioned and emphasized several times throughout the course of the movie, mostly in reference to the Eye and its members. Add that to the fact that Dylan bounces all over the country in a few days and without drawing FBI suspicion, somehow gets out of Bradley's cell after being locked in without a means of getting or having had the keys and without so much as the sound of the door opening and closing, and then very literally disappears on the carousel after revealing himself to the Horsemen, and you can see why the writer firmly believes that real magic is a thing in Dylan's universe. And, obviously, that it's something he, himself, possesses as a member of the Eye.
Like all the rest of Dylan's skills, he has several as far as real magic goes, albeit at a level of mediocrity born of both having had his focus split in several different directions and presumably not being able to practice all that often. He can, however, do a handful of things, all related to mundane magical disciplines (mentalism, illusion and the like), all emotionally and physically draining to varying degrees of intensity dependent on their complexity, and some relatively worthless outside the confines of his own universe. These abilities are outlined as follows:
Elementalism: Some magicians freeze themselves in blocks of ice and then escape. Dylan, on the other hand, can create gouts of flames from his hands consistent with flash paper or sparks in intensities that can vary from static electricity to a mild electric shock, but nothing more. He is immune to the effects of both, provided he created them and he doesn't accidentally set something on fire and then try to touch it, and this is, perhaps, his favorite discipline, the one he has practiced the most, and therefore the least tiring.
Illusion: Dylan is capable of producing minor but real illusions. He could, for example, make a deck of cards appear as if they're made up of all one suit or card, or make his voice sound exactly like someone else's. Sustaining an illusion gets more difficult and draining the longer he has to keep it up, however, and all of them are, for lack of a better term, line of sight related -- specifically, whoever he's trying to use them on has to be able to physically see or hear him, and cameras or other recording devices will pick up what's actually going on rather than the illusion.
Escape Artistry: Basically what it says on the tin. Dylan can phase through handcuffs, ropes, the bars of a holding cell and so on. Anything thicker than that, such as, for the sake of an example, a safe door or wall, would be a no-go, however. (And, for anyone who's actually read through this mess, this is also the writer's head canon for why, despite being a member of the Eye, Lionel couldn't escape from the safe that killed him.)
Mentalism: Via touch, Dylan can pick up on the surface thoughts of other people or transmit his own. Unfortunately, however, he can't really go deeper than that -- so he won't be able to use it to pick up on someone's deepest, darkest secrets unless he's already tricked them into thinking about it by leading the conversation in that direction -- and, again, he has to touch whoever he's trying to read to get it to work in the first place. For canon reference, the writer assumes this was how finished Bradley's sentence about the Horsemen needing someone on the inside for their plans to have worked, when he confronted him in his cell.
Fast Travel: As mentioned in the examples above, Dylan gets around impossibly fast and, presumably, without using a plane or a car to do so, lest he draw too much suspicion. That said, it is assumed that Dylan can use doors to travel to specific locations tied together by the Eye and usually possessing of some historical significance to them or magic in general, such as the carousel near the Lionel Shrike Tree. It's kind of like riding the bus -- he can get on anywhere but he can only get off at certain places -- and is, perhaps, the most draining of the things he's capable of. It's also kind of useless on the island since, without the Eye's influence, there are no linked places to be had.