Federal laws supersede lower level laws. However, most of your the laws your face are going to be at the state level.

For example, let's say your state, California, passes a law that changes the alcohol drinking age to 18, while the national drinking age is 21. Which do you follow?

Technically drinking ages are regulated by the state. But a couple decades ago Congress forced states to raise their drinking age to 21 or risk losing 10% of their federal highway funds. So California could, in theory, lower their age to whatever they want, but the federal government will just take away their funding.

But most confusing of all, if my understanding is correct, marijuana is legal in Colorado and Nevada, but illegal at the national level? WTF??!! Can FBI agents come into Colorado and arrest you for smoking a joint?

They could. But the courts won’t process the arrests. And this is something similar to the drinking age.

Also, since the laws of the United States Congress applies to all citizens of all states, while the laws of any one state applies to only the citizens of that state, can the Congress overrule or wipe out the law of a state? Say that the Congress does not like a New York law. Can it, since it's "supreme", in turn declare that New York law null and void

Yes it happens all the time. If a state’s law contradicts federal, then a lawsuit can overturn the state’s law.