The black hole in Interstellar was not a naturally occurring object, but an artifact created by a stupendously powerful and advanced civilization. As such, there is not much point trying to analyse the properties of its interior in terms of our current understanding of physics.

The film makes it clear that the black hole engineers can manipulate spacetime, which enabled the time-travel effects seen by the characters. Cooper and TARS surmise that the tesseract was created by the builders, as an environment in which Cooper could survive and

>! send messages to his past self and Murph, as the builders wanted/needed him to do.

As for how Cooper left: In our current understanding, once matter crosses the event horizon of a black hole, it can't get out again. We can only assume that with a sufficiently advanced technology, the black hole builders knew of a loophole which allowed him to get out.

It is worth noting that in theory, black holes [emit electromagnetic radiation](http://en.wikipedia.org/wiki/Hawking_radiation), so they aren't completely black.