"Mae e'n gyffrous."
Translation:He is exciting.
Speaking of which, is it the same thing for interesting/interested, i.e. both are diddorol?
No, "Diddorol" is just "Interesting". "To be interested" is "Gan diddordeb mewn X". i.e "Mae gen i ddiddordeb mewn seicoleg" is "I have an interest/am interested in psychology". It can also be expressed using the "Gyda" constructions of posession.
One last question (sorry): Can you do a "gyda" construction for "excited/exciting"?
No, at least I don't believe so. The reason it happens with "Interesting/interested" is because we use the adjective to describe something as interesting in Welsh, but to express interest we use a noun.