Before you read this thread, you'll need a bit of an understanding of the plot of Spiral Knights. Most of the important bits are found in the artifacts and mission dialogue.
All the ideas in this thread are merely conjecture and not representative of the way the plot may go. However, based on similar plotlines I've found in various other video games, such as Final Fantasy V, I'm making predictions as to how the mostly unrevealed story of Spiral Knights will go.
1. The true enemy of the game is the Swarm.
This one should be fairly obvious. Not only are the Swarm-enhanced boss areas currently the most difficult levels not only to access, but to play, they are most likely strongly related to the final battle of the game, according to the Sorting Algorithm of Evil. Not only that, but they have various qualities that are highly reminiscent of The Corruption:
-Enemies affected by it become much more powerful.
-Enemies affected by it are shrouded in darkness and can't be reverted.
-Said monsters also lose all physical possessions - as to why they don't drop any.
-They spawn endlessly.
-It is unkillable by conventional weapons.
-It is incomprensible: "neither beast nor god, it is a creation unlike all" and a monster who has "many eyes [and] many arms."
2. The Core is a meditating, sentient being of light, perhaps a god.
Two of the Shadow Lair artifacts start out "I dream.."
The question must be asked - Who is speaking, and why is it dreaming? My conjecture is that the being is the sentient essence of the Core.
Multiple NPCs in the game, including the ones that stand at the Core, recognize that it seems to be charged with a supernatural energy. The very action of "dreaming" implies a consciousness, and the Ironclaw Munitions Factory Echo Artifact states that "[Cradle] was created to protect me."
The being that leaves behind the Echo Artifacts are -not- the spiritual representations of the Alpha Squad: In the RJP one, it claims "I see your legion, falling to this world like burning stars", implying that whatever left the Artifacts, which I believe to be the Core, is not in fact any Knight.
The "god" part is conjectural; although, a being of pure light and immense power, coupled with the fact that the existence of gods seems to be implied by the core itself ("neither beast nor god") would suggest that the Core is of divine nature.
So, why is the core dreaming?
3. The ultimate goal of both the Core and the Swarm is to eliminate one another.
I believe the Core is dreaming in order to hold back the Swarm from engulfing reality. The Swarm, being an essence of Corruption, cannot complete its goal without destroying the Core. However, based on the Echo Artifacts, the Swarm seems to be winning:
"It devoured the knowledge of time... Memories of the dead... The hearts of kings and the souls of their people... Good and evil... It consumed.
It grew stronger, endlessly mirroring itself within the space of my dream. Endlessly mirroring... Expanding... Infinite."
Coupled with the fact that the Shadow Lairs weren't discovered on Cradle until some time after the Knights crashlanded*, it's clear that the Swarm is gaining more and more power even as the Knights settle on the planet.
*Although this may simply be shown as a gameplay release, the game seems to suggest that all patches happen chronologically, i.e. that the Shadow Lairs popped up and weren't there always.
The end result of this conjecture is that...
4. The Spiral Knights crashlanded on Cradle because the Core's power is weakening.
The Core is aware of its losing battle and thus crashlands the Skylark to attain assistance from the player characters in defeating the Swarm, and perhaps saving the universe. In addition to many of the NPC Knights stating they feel they are there "for a purpose", the RJP Shadow Lair echo also states:
"Within my dream, I see your legion, falling to this world like burning stars.
You fall with purpose, burning ever brighter as you reach for the heart of this world.
Hold dearly this fire in you, for darkness will consume all the night if its stars begin to fade."
5. The Sanctuary is a physical manifestation of the Core's dream.
The artifact found after the The King of Ashes implies that the Alpha Squad went through a Swarm infested area.
"We are at the end of the line. Pursued by some kind of terrible darkness we are forced into the unknown... As I record this, the darkness is nearly upon us, comsuming the world we see, the light."
They then gain access to the Core, a place of "such an intense, blinding light."
Parallels can be drawn to the player's own experiences following a Shadow Lair. They are forced to fight the Swarm in the Unknown Passage, and then enter a place of light - the Sanctuary. As such, the dichotomy between light and dark is heightened; the Sanctuary feels like a dream of peace from the hellish Clockworks.
This theory is supported when the Recon Squad leader Parma suggests that the Clockworks has an effect on his dreaming:
"But when sleep comes, I find myself dreaming more than I ever have before...I hope to return one day to the surface, to a sun, to a place where peace is more than a fleeting dream."
Doesn't that sound like..
"I dream...
Within my dream, I saw it open the void, felt its endless hunger.
You are safe here, Knight. Within this dream, its many eyes cannot see you nor can its many arms reach you.
But this dream is fleeting. Use what is here to prepare for the battle to come. It knows of you now. It will find a way out and come for you."
6. The Gremlins are not responsible for their current evil actions.
Prior to the Skylark's crashing, either out of their own will or the Core's direction, the Gremlins ripped chunks of various worlds and started to construct the Clockworks as a sort of iron shield against the Swarm. This worked for a time, until their plans went horribly wrong:
"In his madness, the architect betrayed the pact. Twisting his creation into a game of death, it now devours all who enter its iron embrace."
I believe that the Swarm, recognizing the potential offensive power of a giant metal death-trap - which would serve to deter outsiders from venturing to the core and allowing the Swarm the power to conduct a relentless assault on the core - corrupted the Architect (king of the Gremlins).
Some believe that the "creation" mentioned in this echo is actually referring to the Swarm itself - that the Architect created the Swarm for a beneficial purpose, but went insane and started using it maliciously. They may also back it up with the line from the FC echo, which states "it is a creation unlike all." However, I believe that the creation in the IMF echo is in fact referring to the Clockworks. Here's the transmission in full:
"This world was created to protect me.
Vulnerable in slumber, worlds were drawn to shield me from the darkness.
This world has become my prison.
In his madness, the architect betrayed the pact. Twisting his creation into a game of death, it now devours all who enter its iron embrace."
As you can see, the entire artifact seems to be discussing the Clockworks. The only thing the Gremlins are canonically known to have created are constructs and the Clockworks: It seems more likely that the Gremlins were originally constructing the Clockworks as a sort of divine suit of armor as -good- guys, but were then corrupted by the Swarm, instead of intentionally creating the Swarm, which is not canonically proven.
7. The Spiral Knights are character foils to the Gremlins.
Advancing from the previous argument...
-Both races are sentient with some form of military wing (Spiral Order vs. Crimson Order).
-We, the Players, are only ever exposed to said military wing with the exception of Haven and Emberlight
-Both races have considerable engineering prowess.
-Both utilize swords, bombs, Mecha Knights, and Health Capsules.
-Both races have segments cut off from their main faction: Knights are (presumably) cut off from the rest of their civilization, while Gremlins have Emberlight.
-Knights must fight through the Clockworks, while gremlins own it.
-Knights are in the (unwitting) employ of the Core, while gremlins are corrupted by the Swarm.
8. Opening the heart of the world is exactly what both The Core and The Swarm wants.
The Core states it's imprisoned in the Clockworks now that it's been taken over by the (evil) Gremlins. As such, it has no way to escape its predicament. Conversely, the prison is also a shield: the Swarm can't gain access to the heart of the world and defeat the Core. The Core has to expose itself to danger now, or else face an overpowering Swarm force later (remember, the Swarm seems to be winning its battle against the Core). Its guard, once the Gremlins, are now the Spiral Knights - the only hope for the Core to win its battle against the Swarm.
9. The Final Battle occurs at the Heart of the World with the Alpha Squad involved: Cradle is the site of the climax of a universe-spanning battle between light and dark.
The most logical place for the Final Battle of Spiral Knights is clearly the heart of the world, with a buildup since launch.
As the Alpha Squad has been engulfed in all the plot points of the entire game, they are sure to be instrumental in the final battle.
My personal idea is that the Knights will discover all the secrets of the world they're on, find a way to open the heart of the world knowing full well that doing so would cause the Swarm to rush in to attack the Core, having assembled a squad (with a name at least as cool as 'Alpha Squad') composed of their four best Knights to fight them off. The Core opens and the player party rushes in, fighting a gauntlet of three bosses -
-The Architect: The Gremlins have been obliterated, and the Architect wants to defeat the party responsible.
-The Swarm: An abomination. The players are able to fight it off with holy energy from the Core; the Alpha Squad comes in to deliver the final blow...
-The Alpha Squad: ..but in a last ditch effort, the Alpha Squad is fully corrupted by the Swarm and represents the last boss of the game.
Wouldn't that be so awesome? And then the Core manages to excise the Swarm or something, and as a reward, you get to keep one weapon powered with holy energy permanently, which increases its power and lets you attack Shadow-Lair swarm (and also increases replay value; collect all 5-Star holy powered weapons!)
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So yeah, there's my thread.
TL;DR: The bad guys are the swarm, the good guys are the Core, and you're in the employ of the Core.
I'm not sure if this is in the correct forum...but I don't really care.
This is a great theory and I love your idea of the three final bosses: it would be an amazing twist to see that you have been chasing Alpha Squad this whole time, and now you need to fight them.
The only problem I see with this are the rewards...i don't know if the community would rather have new weapons be added, but in any case "holy" weapons doesn't seem like something that would be done on a world with no gods.