Fan theories are an interesting thing. Some make the movie more enjoyable, some are completely out there and frightening, (i.e.: Room 237, the JFK of horror documentaries) and some are just fun to think about. Here are a few of the best ones I've heard and speculated on myself:
Behind the Mask: The Rise of Leslie Vernon
Why it makes sense: This one is well-supported because it was actually the original intent, and was stated in the original script. The movie clearly shows that Eugene is an "old pro" of the slasher tradition, but it's never made quite clear exactly who he is. Billy makes the most sense because unlike any of the other classic slashers, Billy got away at the end, we never found out who he was and Black Christmas is considered by many to be a major precursor to the slasher genre, if not the first outright slasher film.
Why it makes sense: This is a nice theory because it actually makes a lot more sense than the film itself. For an alien invasion film, Signs has a ton of religious overtones (that's how they got Mel Gibson to do the movie) and the idea basically goes that this is the end of days, demons are beginning to walk the Earth, and this is not a family learning to come together in a crisis, it's a family being judged for their sins. The ending especially makes sense: the creatures are not aliens who happen to be allergic to water (while invading a planet that is 75% water) but instead are invading a minister's home, in which the water is blessed, and are defeated by holy water. That all makes for a much more satisfying horror movie.
The theory: Dewey is the third killer in Scream
Why it makes sense: This unsettling theory actually stems the duration of the franchise, and makes the most sense while considering the third film. The initial theory is that Billy and Stu could not have planned everything in the original film, so they needed another person to guide them. But instead of being Roman, Sidney's "long-lost brother" in Scream 3, it's one of her oldest friends. Basically, the reason each killer is so fixated on Sidney is that they were guided by Dewey throughout each entry, manipulated into tormenting this poor girl by her big brother figure. There always was something off about the guy.
The theory: Sam Loomis in Psycho is Sam Loomis in Halloween
Why it makes sense: This one's more fun to think about than anything else. Obviously the name in Halloween was an homage, but the theory states that Sam Loomis, who was looking for a way out and new path throughout Psycho, was deeply affected by the tragic events that unfolded at the Bates Motel, and pursued a career in psychology. A few years later, he met a young patient named Michael Myers, and saw in him some of the qualities he'd seen before, and hoped working with Michael would prevent another Norman Bates. Instead of being able to do that, he was left on the sidelines, once again completely unable to help or control the situation. Loomis' pursuit of Michael may in fact be his own projected desire to undo the worst situation of his life and finally put the memory of his dear Marion Crane to rest.
Evil Dead (2013)
The theory: The Evil Dead remake is actually a sequel
Why it makes sense: Unlike some others on the list, this one is fairly common and even seems well supported by the film itself. The cabin in the remake is nearly identical, although that could come down to good production design. Unlike the original, a lot has clearly happened here. This is not one family that has suffered through the book's wrath, it's whole families, suggesting that the evil has been present here for a long time (say about 30 years.) The book is well-worn and full of warnings to stay away, run away, get the hell out of there, warnings by all the people who have made these mistakes before. Then there's the fact that the classic car from the original three films appears, and looks in much rougher shape than it did in those films, because so much time has passed. Some even believe that Mia and David are the niece and nephew of Professor Knowby, who uncovered the book in the original films. Then there's that last bit at the end there with Bruce Campbell, but that could just be a little nod. Or the return of the King.
A Nightmare on Elm Street
The theory: Nancy is Freddy's daughter
Why it makes sense: Bear with me. Nightmare is a fine film on his own and totally works. But the movies never totally explain his fixation on Nancy or the her house, which for some reason became the fixation of all the sequels. This theory, which I have pondered before, states that Krueger's fixation throughout the entire series on that house is his belief that it should have been his house, his daughter, his life, and every film is an attempt to reclaim that. Also explains why Marge kept the glove in the original film.
Friday the 13th: A New Beginning
The theory: Roy is possessed by Jason
Why it makes sense: Friday the 13th: A New Beginning, is infamous as being the Scooby Doo of the Friday sequels, where we think it's Jason the whole time and then the mask comes off and surprise! It's Roy, the paramedic. But in the movie, Tommy Jarvis is haunted by "visions" of Jason Voorhees, and the theory states that he's actually seeing Jason's ghost, who has connected with Roy's rage and taken control of his body. This ties Jason Goes to Hell into the earlier films, as that film showcased Jason's ability to possess people after his own body is destroyed.
The theory: Michael Myers can actually talk, is several background characters throughout the series
Why it makes sense: I like this theory. Michael Myers is a practical joker in the original film and is more interested in setting up scares than anything else. In Halloween 4, when the group of Michael Myers impersonators dissipate, one of them shouts "you thought it was me!" not "you thought I was him" and when they drive away Michael Myers is still standing back there. This could be an actual line of dialogue in the series by Myers himself. We already know that Michael LOVES to crowd the background of the scene in the series. The idea that he could be wandering the background without his mask actually makes a lot of sense. I've also heard the theory that he could be the man in Halloween 4 who points out Ted Hollister in the bushes and causes a bunch of rednecks to shoot their friend.
The theory: Ghostbusters died while crossing the streams, the second film plays out in purgatory
Why it makes sense: It would explain why the characters in the second film don't seem to remember the events of the original, save for knowing each other. The celebration at the end of Ghostbusters could have been posthumous, in which the group is now dead, but has not yet realized it.
Drag Me to Hell
The theory: Drag Me to Hell is about Christine's eating disorder
Why it makes sense: It would explain why all the supernatural things that happen to her are weirdly food-based. Christine is growing delusional and the torment she suffers is inner torment personified by her own mind.
The Texas Chainsaw Massacre
The theory: The cannibal family are relatives or immediate family of the police who investigated Ed Gein's farmhouse
Why it makes sense: Yes, Ed Gein inspired the movie, but I like this one. We never totally get a reason as to where the Sawyers came from or why they do what they do, and it's entirely possible that in this fictional scope the police who uncovered that seen went insane afterwards, and have spent the further years projecting and repeating the trauma on the poor unsuspecting young people that come across their farm.
The theory: Amity Island has been covering up shark attacks for years.
Why it makes sense: Well, first of all, they actually state "this has happened before" and are incredibly quick to cover it up. Especially in keeping the new hotshot police captain in the dark abut it. With the bureaucracy shown in the film, it actually makes a lot of sense.
The theory: Childs was the thing at the end, the drink between them was one final test by MacReady to prove it
Why it makes sense: Of everything on the list, this makes the most sense, because it probably had to be one or the other at the end. MacReady had been shown filling the bottles with gasoline for use as Molotov cocktails, and if Childs drank out of the bottles, the gasoline would not have had an effect on him. Childs drank it, and there was no effect. The final moment that passes between them is a look of mutually assured destruction as the credits begin to play.