WMG: The New Adventures of Captain S

Captain S is the son of Captain N: The Game Master

The Korean gypsy we saw in the first episode is the third entity.
The illustrated introduction to the seventh episode mentions three entities whose duty was to guard the X code. The accompanying picture shows the hands of each of those entities: one has sparks around the arm; another one has spirals on the knuckles; the third one wears many bracelets. Subsequent illustrations show the entity with sparks to be the Game Genie (he stole the X code) and the entity with spirals to be the Head (he is depicted as a giant head with spirals as eyes). There's one entity left, which has not been mentioned explicitly in the series, but the only character we saw wearing many bracelets was the gypsy who sold the magic cartridge to Chad. Why would she own something that allows you to reach Videoland in the first place? Obviously because she is FROM Videoland, and she is the third entity.

The gypsy sold the Game Genie and the Power Glove to NES.
Since she sold the cartridge to Chad, it's reasonable to presume that she sold the other Videoland-related artifacts to NES, which is why NES is holding the Game Genie at that point: he just bought it. He is also wearing the Power Glove because he just bought it, possibly after realizing that it gave him strength.

Sullivan serves alcoholic milk shakes.
This explains why every character in the series likes them so much, and why, in episode 7, Chad gets drunk by having too many. But alcoholic milk shakes are Truth in Television (just search "alcoholic milk shake" on Google). This means that milk shakes in The New Adventures of Captain S are not merely a family-acceptable substitute for alcohol, they are actually alcoholic.

Game Genie has a "thing" about squirrels... and vice-versa.
Or, in alternative:

Squirrels are sapient in Videoland.
As a Shout-Out to The Hitchhikers Guide To The Galaxy, with squirrels instead of mice
  • Semi-confirmed. Squirrels are actually the Third Party, the neutral faction working for the Gypsy to keep a balance between good and evil.
    • As a corollary: the use of squirrels for the Third Party is a reference to Scientology. Word of God says that the Head and the Game Genie cannot comprehend each other's motivations, so a neutral faction would appear heretic to both of them. The Game Genie even uses the word "squirrel" as an insult toward those who do not share his ideas. The term used by Scientology for practicing a heresy is... squirreling.
NES will return... with a new identity.
Lost in the void between worlds, NES discovers a new piece of technology (See the epilogue after the end credits of Episode 10) that helped him escape, as well as put him in a new Super Mode, creating... Super NES.
  • Semi-confirmed. Nigel would have returned, but not as Super NES. He would have been a member of a neutral faction called "The Third Party", led by the gypsy (actually the third entity) who sold the magic cartridge to Chad.