Just how the hell does Bayonetta actually fire the guns on her heels? They don't even have any trig— ...Oh,wait...
Despite the Prologue chapter being set at nighttime, Bayonetta cannot use her Witch Walk ability that triggers during full moons. She only gains access to Witch Walk in Chapter 3 after recalling a memory and is subsequently used in scripted areas where there is a visible full moon. This brings up the fact that Witch Walk is something that must be consciously or manually activated, and this even applies in-game as the player can manually revert to the normal orientation from a Witch Walk by pressing a specific button.
When you unlock the Handguns, their Flavor Text specifically mentions one being able to "hold back their full power". In the Prologue, several guns break in Bayonetta's hands because she's trying to fight at her normal capacity, but the guns are unable to withstand her magic. It is also the same reason why the equippable Handguns have much weaker damage output and firepower than the Scarborough Fair because Bayonetta is holding back her power so that the guns won't be damaged again.
It would be weird at first as to why the game intentionally spells Cereza calling Bayonetta as "Mummy!" instead of the proper "mommy!". Before Antonio Redgrave found her in the bottom of the lake, Bayonetta had just been sleeping in a coffin for years, just like Egyptian mummies.
Bayonetta speaks with a British accent; in British English, "mummy" and "mum" take the place of "mommy" and "mom."
Bayonetta has multiple elements of butterflies in her design: Butterflies appear when she jumps, her glasses have them, her entire shadow is a giant butterfly. Now look at the demon she summons to make giant fist and boot attacks - the game manual mentions her name is Madama Butterfly. This is also the name of a famous opera whose theme is an American soldier and a Japanese woman during the war who fall in love, but eventually he leaves her alone and pregnant with a child born of both worlds who will be accepted by none... and Bayonetta herself is the daughter of a Lumen Sage and Umbra Witch!
An example of why Bayonetta considers the Angels to be ugly? Need I bring up the Beloved who fell in love with Cereza?
Umbra Witches strike pacts with demons to gain immense magical power, strength and the power to summon demons to aid them in battle, in exchange for hunting Angels. When witches die, their souls are dragged down to Inferno, and it is implied that they are treated like any other soul in Hell. Should a player get a 'Game Over' and refuse to continue, a scene plays where Bayonetta is dragged screaming down to Inferno. When Bayonetta is at low health the pulsating shadow of several clawed hands can be seen at the edges of the screen, that is stronger depending on how little health she has left — the claws of those very demons, so close to being able to fulfill their contract with Bayonetta and devour her soul. Given how light-hearted the game can be, it's a chilling reminder of just how dark and 'evil' being a witch is...
With her foggy memories, Bayonetta could have interpreted Jeanne's first challenge in the past as an attempt to show off how superior she was as a prodigy of the Umbra Witches. Add in Jeanne's behavior throughout the game, and she comes off as a sore loser with a grudge. However, the truth is that Jeanne challenged Bayonetta as an equal in their coven with Father Balder manipulating the both of them into becoming enemies.
On the Wii U port of the game, you are given costumes based on Nintendo characters, which appear in game to give Bayonetta an aesthetic change. However, during some of the Wicked Weave attacks, most notably the Climax attacks, the costumes don't come off, which could be dismissed as a system limitation or something of the sort. But thinking about it in-universe, and how those attacks works, you realize that normally when Bayonetta doesn't have a costume on, she has her normal bodysuit. Since she's wearing a costume, she doesn't need the bodysuit, where she can extend her hair as much as she needs to in order to execute the climax attacks without losing her bodysuit.
Why is Father Balder's outfit and wings so closely resemble a peacock? Peacocks are often the symbol of the sin of pride and pride is associated with the Fallen Angel Lucifer.
For bonus points, Rodin, who is an actual fallen angel, has the same general motif when you fight him as the game's Bonus Boss.
Why didn't Bayonetta bring Scarborough Fair on her shopping trip in the opening of Bayo 2? Notice her comment about the cheap handguns being 'on sale', and the Word of God that her and Jeanne's different hairstyles are because they just felt like it, like normal people. Like a normal person, Bayonetta occasionally forgets things when she leaves the house, like her shopping bags, or a nice winter jacket, or a set of reliable firearms. She probably realized that she'd forgotten her good guns halfway through the trip, and picked up the handguns just in case. And like a normal person, she has a good friend or two willing to lend her a good substitute in such a situation, when a hasty replacement doesn't cut it.
So Paradiso and Inferno are affiliated with the Sun and Moon respectively. Strangely enough, this is still incorporated to the Angel and Demon designs in a very amusing manner. Whereas the Angels' haloes look similar to the Sun, the Moon is incorporated through a Demon's horns.
In Bayo 2, Alraune claims that Jeanne's soul is giving her such power that she thinks she could 'become the ruler of Inferno'. This makes perfect sense when you remember that Jeanne has summoned the ruler of Inferno - she and Bayonetta had to work together in order to summon Queen Sheba in the first game. It's entirely possible that being one of the only two witches to have pulled off that summon has left some sort of residue, and Alraune is picking up on that. note It also causes one to imagine what an Oh, Crap! would look like on Alraune's face if she were to try to fight Sheba on her own and realize just how much she overestimated Jeanne's power.
Jeanne being a history teacher in her spare time. After all, what better person can give lectures about history (namely the time period of the Witch Hunts◊) than someone who's actually lived through most of it?
Why doesn't Aesir play Dead Man's Volley when he throws a massive structure at Bayonetta in Bayo 2? Because it's his first time seeing the return. In Bayo 1, Jeanne takes a few missile on the first return before starting to volley them back, showing the maneuver takes some getting used to (as any player who ate their first return can attest to). Whereas Balder, being possessed by Aesir by the time of his boss fight, has seen the maneuver used before, and can start volleying right away.
Most relevant of all... why does Bayonetta have an obsession with lollipops, which show up in a lot of cutscenes and which her consumeables consist of? Because an offhand comment by Luka reveals he spoilt Cereza with them while she was under his care.
While Bayonetta changing her look in 2 is all well and good, her non-special occasion clothing is made out of her hair. While in the first game, she wore her hair long (suggesting that her entire getup was basically her 'do), since she has short hair in 2...well...it's either her body hair, or from other...places.....
Bayonetta can likely style her hair with her magic, like when she had it super long and flowing during boss fights in Bayonetta 1 and during Umbran Climax in Bayonetta 2. Therefore, her hair is probably only from her head. If it helps, given the absolutely many bits of Male Gaze going on, we can see that Bayonetta only has hair on her head.
Umbran Watches slow down the user's age. Lumen Sages have similar clocks, yet Balder looks so much older than Bayonetta and Jeanne. Either the Lumen clock doesn't work as well as its Umbran counterpart, or Balder was deliberately ageing himself as a last ditch effort to kill Loptr.