"What entangled photons really are?"
Photons are measurements of the state (changes) of a quantum field. Let's take your knowledge about the hydrogen atom as a starting point. Let's say your atom is in a p-state. The atom then changes into an s-state. Its angular momentum and energy change. Angular momentum and energy conservation demand that both quantities have to be carried away in some way. The electromagnetic field can do this. The atom de-excites, giving off "a photon", which is the change of the total angular momentum and energy of the em field. Later the em field can transfer this quantum to another atom or it can just be lost into the darkness of space, never to be seen, again.
That is what photons are: accounting units for the state changes of the em field. Just like all accounting units, photons are indistinguishable. We can't write "Kilroy was here!" on a photon and then watch it percolate trough the vacuum like a classical bowling ball. We can throw a photon into the em field and at some point we can get a photon back somewhere else, but it's not "the same" photon. It's really just "a photon". It's not "Sue the photon" or "George the photon", but one anonymous quantum of energy and angular momentum.
Now to your questions:
"What happens to first photon happens to the other, does that only include polarization?"
Can you see how that question makes no sense, whatsoever? You are implicitly assuming that there is a first photon (called "Sue") and a second photon (called "George"), but there isn't. There is an em field that is excited with two quanta of electromagnetic radiation. This means we can make two independent measurements in two different places which are linked by a physical constraint and they have to show a correlation. What we are not doing is picking up "Sue", who then somehow phones "George" that she's just been collapsed by a photomultiplier tube.
"2- As I understood entangled photons does not mean sending FTL information, but as I understood first photon knows about what happens to the other photon, isn't that by itself FTL information?"
"Information" is such a poorly defined term for the purposes of physics. Have you seen it being used in your classical mechanics classes? Did we talk about information there? No. We talked about work and energy. If we want to change anything in a physical system, we need energy to do so. Is there an energy transfer here? No, certainly none that happens faster than the speed of light.
So what if we make up a definition for "information"? How about we demand that it satisfies that something about the statistical properties of one of the measurements on the "George" photon side (Cough! - see my previous remark) changes? Would there be a change in the outcomes depending on what we do on the "Sue" photon side (Cough, cough!)? Nope. Not a thing would happen. Only the correlation between "George" and "Sue" will ever change.
"4- Does making measurement on first photon collapses the wave function of the other photon?"
Nobody has ever seen a wave function collapse. That was merely an all wet expression for the Born Rule when your great-grandpa was first talking about this stuff. Since then the Big Cheeses have been beating their gums about what looked like the Bee's Knees back then. But don't take any wooden nickels because everything is Jake if you stop using your great-grandpa's slang. Did you notice how many other expressions from the 1920s we are not using without the world falling to pieces? Put "collapse of the wave function" among the collection I just gave you.
"5- in Double slit experiement, it is said that the photon goes in both slits at same time, why not it is another entangled photon going into the other slit? after all I doubt that they really fire single photons through the slits, they must be firing small shots of photons."
Attaboy! (That means "Well done!") Now you are catching on. Absolutely nothing gets fired trough anything. A wave phenomenon that happens to be restricted by the symmetries of spacetime to quantized exchanges of angular momentum is being observed.