Yuji's mom was magically brainwashed by his father.Clearly, no person could be that much of a surprised-by-nothing Yamato Nadeshiko without being the zombie servant of some kind of Evil Overlord.
Shana's skirt really is magic.Shana usually has a normally functioning Magic Skirt. However, we see a Panty Shot for a few frames during the most climactic battles. Why would this be? Clearly, Shana uses Alastor's magic to power her Magic Skirt. The skirt only fails during the most intense battles, in other words, it does not operate properly when Shana is completely focused on very strenuous combat. That's when her powers are completely occupied for other uses and she has no energy or attention to spare for maintaining her skirt's magic.
The Snake of the Festival is Deus.Think about it. He's stated to be the "god of creation", and the function that humans serve for denizens is awfully similar to the Wels. Wels are spare parts, and human existences are a source of power, which are pretty much the same in the context of their respective stories. He was also in a dormant state at the start of the story and had to be "reactivated", a goal several individuals that worked for him had been working towards for a long time. Finally, he provides power to the main character in an indirect manner at first. Though he powers him directly later on, when he pretty much bows down to Gig if you know what I mean
Yuji is a eunuch.He has had two very beautiful girls (and schoolmates to boot) confess to him, yet he never does anything about this and he even fails to notice it when Shana's clearly jealous of other girls around him. Something about him must definitely be wrong. Also consider his age, when boys no longer think just about toys and playing soccer!
Yuji's Dad is Sabrac.We never see the two in town at the same time, and they share a similar hairstyle. Not to mention the way that he apparently has experience stalking people and can block Shana's attacks, it seems entirely possible that this is the case.
The circumstances behind Yuuji's "first" death are going to be an important plot-point later on.Isn't it weird how we never found out which Tomogara exactly killed him in the first place and why exactly the Reiji Maigo choose him as it's new host?
Shana is a saiyan.Her hair changes color when she powers up and she gets stronger with every fight.
Losing all your Power of Existence doesn't kill you.It transports you to the realm of things people no longer believe in - Gensokyo. Big Bad, was revealed to have actually been the Big Good, who would be the real Big Bad here? The Flame Hazes were fighting against the Crimson Denizens as a result of someone telling the Flame Hazes that the Great Binding Chain was an act that the Snake of the Festival made in order to fuel his interests of destroying them all in one shot millenia ago. Such a person who could influence a large faction in that manner would none other than Tzeentch. Tzeentch heard about the Great Binding Chain and decided to interfere with it by manipulating the Flame Hazes into attacking the Crimson Denizens via exploiting their doubts toward the Great Binding Chain to fulfill his own, ever-expanding, convoluted, and unknowably complex schemes, which resulted in the Snake of the Festival sealed in the abyss before being re-awakened by Yuji, millennia of fighting between the Flame Hazes and Denizens, and countless lives having their Power of Existence consumed by the Denizens.