I HAVE BEEN HERE= I have experienced this situation, I've been through this.

HURT MYSELF= (I've) hurt myself.
To hurt is to cause pain/suffering/harm/injure.

THERE'S NO-ONE ELSE TO BLAME= I'm the only person responsible for this, this is only my fault and nobody else's.
To blame someone is to say that this problem is their fault, that they caused the problem.

HOLD ME= Hug me, embrace me, put your arms around me.

WRAP ME UP= Hold me.
To wrap something is to cover it with something else, like when you wrap a present with some beautiful paper. The particle "up" adds the idea of "completely, totally, all over", so "wrap me up" means the same as "hold me", but at the same time we get a much stronger idea, as if you could completely cover me with your arms (so I can feel totally protected and safe).

UNFOLD ME= (metaphor) Fix me, make me good and healthy again.
To fold is to make compact by doubling or bending over parts, so if a person folds, they get distorted, out of shape, because the heaviness of their problems made them bend down. So the opposite, to unfold, is to restore them, to make them good and proper again.

NEEDY= Wanting or needing affection, attention, or reassurance, especially to an excessive degree.

WARM ME UP=  Make me feel warm (=love me), because I am cold (= I need love).

BREATHE ME= /bri:ð mi:/ (poetical image) This is not proper English, it is just an image the singer creates to express something impossible to explain with normal words. We can speculate about its meaning: "whisper to my ear", "get me inside you so I can feel loved, safe and protected" or "bring life into my dead soul/body", like when God breathed into Adam's nose to give him life, or when Evanescence sings "breathe into me and make me real, bring me to life" (using the same image from Genesis). But one thing is "breathe into me" (correct English) and another thing is "breathe me" (creative English). You can breathe smoke or a perfume (take it inside your lungs by breathing), but you can't breathe a person. So just don't think too much about what it means exactly, simply listen to it and let your heart create its own image. In fact, that lack of rational meaning is what makes this image so powerful and suggestive, to the point that they decided to use it as the title for the song.

OUCH= A sound you make when suddenly you feel pain:
- Careful, you're going to hit me with that... Ouch! You hit me!

I HAVE LOST MYSELF= I have no purpose, no direction in life, I don't know what to do.

I AM NOWHERE TO BE FOUND= You can't find me anywhere (because I'm totally lost)

UNSAFE= Not safe, in danger.