It's established that Strange Friends happened between Death Masks and Blood Rites. At the end of Death Masks, Harry picked up Lasciel's coin to stop Michael's son from doing so; meaning that Harry already has a passenger by the time of Strange Friends.
Also, on the headscratchers page, someone noted that in the Dresden Files, when someone realizes that they're acting out of character and are probably possessed, the possession doesn't just break.
Therefore, Lash was probably fighting the Nightmare in Harry's mind, allowing Harry to break free of its influence.
In False Masks Obsidian the Undying will show up.
It is just Harry's luck, that while he is an assasination target for good guys, who mistook him for local Kemmler analogue, the real deal will show up (that is real Kemmler analogue, not Kemmler himself. Though addmitedly that could be even more awesome.). And of course since Order of Triune is so busy trying to off the Blackstone, Obsidian will have free reign to enact some apocalyptical plan, that only one intrepid wizard and Mane Six will be able to stop.
Expanding on that guess: Obsidian isn't just back already, he or an ally of his is actually one of the Order's current leaders. Which explains why they didn't discover him this time around and why everything seemed peaceful enough until Harry showed up...
The Observer is Obsidian or one of his followers.
The Denarians are somehow involved in all of this.
Okay, I'll admit right off the bat that this probably won't happen, mainly because it's based on Michael's appearance in the prologue. But damn it, I will continue to believe that the Denarians are in some way connected to Obsidian until I am proven wrong. Because If this is the case, then there is a possibility that Michael will ride Unicorn!Dresden into battle. And that's just too hilarious a mental image to give up on.
Obsidian never was immortal.
The original Obsidian is long dead, and all the ponies the Order Triune killed since were simply the victims of similar misunderstandings as Harry is now. (Which isn't to say that some of them couldn't have been villains in their own right — just that they weren't in fact all the same guy reborn.)
Alternatively Obsidian is immortal, but Order Triune eliminated it's share of innocent unicorns as well, just due to being paranoid.
And it only works on black unicorns. That is to say, when Obsidian is killed, his ghost floats around until it finds a black unicorn to possess. This explains why history records say that Obsidian had a different cutie mark every time he came back. It also means that the Order Triune has been keeping him dead by denying him new hosts.
Expanding on this, Obsidian's attempt to return this time will fail when he tries to possess Harry, because Harry isn't actually a pony.
The ponies who took Twilight Sparkle at the end of chapter 11 are Obsidianites
We know that somepony who did not look like members of the Order took her after using some kind of mental whammy on her. If those someponies were with Celestia, no whammy would be necessary. Ergo, we have a third party involved. And who would be a better third party to involve than followers/disciples of the real Obsidian? [Name derived in obvious fashion from Kemmlerites]
Jossed. As it turns out, the mental whammy wasn't cast by the pony who took Twilight, it was a mind-imprisoning spell that the Order Triune had planted in her head as a failsafe in case she somehow escaped. At first blush, the pony who rescued her doesn't seem to be an Obsidianite cultist, either. He's quite enigmatic and his ultimate role in the overall story remains to be seen, but he's not outright hostile and is even content to let Twilight go her merry way.
King Sombra was the original Obsidian
An evil black unicorn with a talent for magic. He existed before the Order was pushed underground so the timeline appears to fit.
If so, it would require a retcon on the part of psychicscubadiver, since Obsidian was mentioned before Season 3 started. Also, the way King Sombra is still imprisoned in his shadow-spirit-form-thing would not fit with the way Obsidian's immortality is supposed to work.
Jossed. Sombra isn't Obsidian, or even one of his reincarnations, but there is a connection: In chapter 14, It's mentioned that Sombra (referred to as "The last king of the Crystal Empire") went insane after trying (and failing) to duplicate Obsidian's powers.
Obsidian is Kemmler.
After being defeated once again by the Order, Obsidian travels to Earth and possesses a human body, and gains a new name: Kemmler.
Ponies of Equestria are technically Outsiders
Equestria is neither part of mortal world nor of Nevernever (as evidenced by Harry jumping out of Nevernever to get there). This would, considering Dresden Files canon cosmology, make Ponies the Outsiders. They are not of the Eldritch Abomination kind, that the Laws of Magic talk about, but still Outsiders. Unless Princesses turn out to be Walkers, that will probably have little to no bearing on the plot.
This is doubtful in light of recent revelations made in Cold Days, where it's shown that Outsiders live beyond a literal set of Outer Gates. Then again, given that this story was written and planned out before the release of Cold Days, the author might have planned it that way.
Actually, Word of Jim is that alternate realities exist that you can reach through the Nevernever. Equestria is just one of those.
Pony Molly will appear if there's a second sequel
Come on, just think of the possibilities with her and Twilight's crushes on Dresden.