Alastor being Charlie's dad in disguise, her long lost uncle, or, less commonly, her illegitimate half-brother are pretty popular theories based mostly on how much Alastor and Lucifer look and dress alike. There's even a moment in the pilot where Alastor is shown staring at Charlie's family portrait, and he and her dad have the exact same expression. Episode 5 josses the "dad in disguise" theory.
Some theories suggest that Alastor may have some connection to the demon Furfur or the loa Kalfu, possibly even both.
Vaggie being a fallen angel is another theory floating around, due to her wielding a spear and having an X over her eye like the Exorcist angels seen in the pilot's opening. This would prove to be true in episode 6 where it is revealed Vaggie was an Exorcist who was cast out after sparing a soul.
Many fans are left wondering what exactly Niffty did to earn eternal damnation, given how relatively harmless, cute, and polite she is compared to the other sinners in the hotel. There's even further speculation on the idea that she ended up making a deal with Alastor.
When Charlie's redesign was revealed, eagle-eyed fans noticed a tiny black smear on her left hand's index finger, which is obscured by her thumb. Some have theorized that it's a wedding ring, and that she's full-on married Vaggie rather than being girlfriends. This would be jossed in the series proper, as the smear is entirely absent from her design, and Vaggie is explicitly stated to be her girlfriend, the show establishing they met and had been dating for only three years by time of the show itself.
When three extremely rare cards in the official trading card set that could be purchased before the show's proper premiere, with Lilith's being the first to be revealed, fans speculated Saint Peter would be one of the two cards. This was because his status as the gatekeeper of Heaven letting in virtuous souls made him a logical character in the show's premise. These would be jossed, as the cards were Fat Nuggets and KeeKee.
TV Series:
While speculating about why each Sinner ended up in Hell is commonplace, speculation over why Vaggie in particular ended up in Hell is popular, since she by far seems to have the least reason to be in Hell. Control Freak issues and Hair-Trigger Temper aside, she's the only person aside from Charlie at the Hotel that can be considered flat out good, being a supportive girlfriend and just as invested in redeeming Sinners as Charlie, if more down to Earth than her.
A fairly popular idea dating as far back as the "Pilot" is that she's actually a Fallen Angel, thanks to her eyepatch resembling the depictions of the Exorcists and her favoring a spear like they do, only strengthened when the Executioner Lute was introduced, who has an eyepatch mirroring Vaggie's. This turned out to be right on the money, as "Welcome to Heaven" revealed she's actually a Fallen Angel Exorcist who was mutilated and abandoned by Adam and the other Exorcists for showing mercy to a scared demon child.
The episode "Scrambled Eggs" lead to a theory that she's one of Carmilla's daughters, due to their similar personalities, both having a penchant for swearing in Spanish, and the two performing the Distant Duet "Whatever It Takes" with their only commonality being a desire to protect their loved ones despite all prior and subsequent duets having the characters at least interacting with other directly. While "Welcome to Heaven" revealing she's a Fallen Angeljossed this for some, it was amended by others to include the idea Vaggie was the only one in the family who ascended to Heaven, as one of the Angels shown in Heaven is Molly, Angel Dust's twin sister, which served to foreshadow how the qualifications of getting into Heaven are arbitrary In-Universe, leading some to believe Vaggie was a mortal who became an Angel while her mother and sisters were damned to Hell. This too would be jossed after the two formally meet and interact, demonstrating no prior connection, instead forming a new connection as mentor and student.
Given that Lilith and Alastor's disappearances coincided with each other, a very common fan theory is that they made some kind of deal, which only increased after it's revealed that Alastor is currently on someone else's leash. A popular variant is that Alastor was sent to watch over Charlie. Lilith having made a deal with Heaven however, and Lute's next order being to go down and 'deal' with Charlie - though she doesn't look pleased - muddles the theory a fair bit.
After Husk revealed that he used to be an Overlord, many begin to wonder if the same's true of Niffty, particularly since much of her past is still unknown.
In light of Episode 6, there has been talk that Sera and Emily may actually be among the Seven Archangels rather than Seraphs, just under a different name to avoid blowing a religious bomb. There is also various theories as to where said Archangels are alongside God this whole time and if they exist, what would be their reaction to the Exterminations?
An increasing number of fans believe that "Lilith" seen in "Dad Beat Dad" is actually Eve in disguise. The main evidence given for this involves Lilith's face being hidden in the flashback despite it already being depicted regularly in photos, two of which even being seen in Lucifer's home that very episode. Contrast that with Eve's face being unseen and no mention of her outside of Charlie's story on Hell's origin.
A character named "Roo" who Viv has only drawn one artwork of and enigmatically teased is basically fodder for theorists. It's widely believed it's short for "Root of all evil", and she's the Greater-Scope Villain of the Hellaverse. Some also theorize that she may be who Eve became, having become corrupted by the curse the fruit brought.
It's a common theory that Charlie is a Nephilim, as she is the daughter of an angel and a human-turned-demon, just like how the Nephilim are commonly thought to be angel-human hybrids. Another is that she's The Antichrist by virtue of being Lucifer's offspring.
Some believe Sir Pentious post-ascension landing in front of Sera and Emily of all people in Heaven was guided by an outside force. Usually, this theory has it that God dropped him in front of Sera personally to confirm to her face that the damned can be redeemed. For the same scene, some speculate he reincarnated as a seraphim, as "seraph" means "fiery serpent".
There's speculation that Adam got into Heaven despite being a foul-mouthed, violent misogynist because he didn't eat the Fruit in this take of Genesis, thus he's genuinely unable to understand that he's bad. This would put another spin on his line that he's "never made a mistake in [his] fucking life," because he would be, to the best of his ability/knowledge, actually be telling the truth.
Some theorize Zestial is Cain, as he is confirmed the oldest Overlord in Hell.
Following the end of Season 1, some have come to theorize that the Carmine family are comprised of fallen angels, pointing out that while the idea Vaggie is related to them was jossed, there are way too many similarities between Carmilla and Vaggie to simply disregard, while also pointing out Carmilla's unusual knowledge of both Angelic elements and use of Angelic Steel, and how the families ballet motif actually resembles the motif of the Exorcists, leading some to believe that Carmilla, Odette, and Clara were either kicked out of Heaven or in voluntary exile, and now are Hidden in Plain Sight as one of the most prominent Overlord groups of Hell.
or the loa Kalfu