Whenever you use the Dream Nail on someone while they're awake, you only read their thoughts. And whenever they're asleep and dreaming, you enter their dreams and, on occasion, access their Bonus Boss. Why? Because your mind expands when you enter REM. So the dreamer's thoughts are expanding beyond mere text as well.
One may question what kind of bug Grimm is supposed to represent, given his apparent vampire/bat theming that may seem out of place. However, he asks you to collect flames ("like a moth to a flame") and bursts from a cocoon in the Nightmare King fight, indicating he is some sort of moth. Where does the vampire theme come from? There is a moth genus (calyptra) of which the males possess a specialised proboscis capable of piercing skin, allowing the moth to drink blood.
Why does dying to The Radiance kill you for real instead of kicking you out like every other Dream Boss? The Radiance is the original wielder of dreams, and ever since becoming an Un-person has only been able to live trapped within a dream (the Hollow Knight's), her original sphere of power. Even though she is no longer in the physical world, she's still able to affect it as seen by the existence of the Hate Plague, so it stands to reason that dying against her would kill the Knight in the physical world.
The Radiance partially resembles a moth, as moths are attracted by light. Furthermore, you learn that under her rule, insects were reduced to following a hivemind-like, basic instinct. Light triggers a basic instinct in moths and many other insects to gather around it, thus meaning that the bugs of Hallownest would follow and gather around the Radiance's light.
All those references to light Infected bugs make became suddenly clear when you learn its origin.
Notice how the Watcher Knights, the Lost Kin and the Hollow Knight all share the same sound effect when screaming. They are all physically dead and/or empty unlike the majority of the living, infected bugs, so how come they are still capable of screaming in the first place? One thing that they have in common is that they are currently being hijacked or possessed by the Radiance through the infection. So by extension, it is not them that is screaming, but that common sound effect is the Radiance's own scream.
The Godmaster update adds in a Rule of Funny content via the Eternal Ordeal Mini-Game which even has Zote humming two soundtracks. But there's quite a difference when you listen to how he hums - He seems to be putting more energy and effort in the "Truth, Beauty and Hatred" track because it's his own theme. Compare this to how he hums the Main Menu Theme, where he sounds bored and even mumbles to himself near the end. He doesn't feel like doing it because the soundtrack isn't about him.
So the Knight recovers its lost memories by hitting the black egg in the Birthplace with the Awoken Dream Nail. A common theory or misconception is that it's the exact same egg where our Knight came from. But the key hint here is the idea that there is another figure of the Knight when you approach the egg, imitates your exact moves, and also moves away out of view the farther you are from the egg. That phenomenon alone would conclude that the black egg only serves as a mirror, and the Knight is using the dream nail at its own reflection, hence why the dream sequence that you get afterwards is a Pensieve Flashback.
If one notes that the dream nail's abilities are associated with light (i.e. any bug who gets hit by the dream nail while awake emits a white flash, and that the dream world is implied to be the Radiance's domain), then that scene with the Knight in front of the black egg would make perfect sense since mirrors reflect light.
It is a common phenomenon for real-life insects wherein the female bugs are more aggressive than the male bugs, often resulting to killing or eating the mates after having sex. Suddenly, this makes two scenarios in the game to have a lot more sense:
The Mantis Lords are all sisters according to the Hunter. They are the ones leading the tribe. While there exists a male Mantis Lord, it embraced the infection to acquire more power, but was driven out by the entire tribe.
The Leg Eater and Divine look like they belong to the same bug species. And after you upgrade all his three fragile charms into their unbreakable versions, the Leg Eater will climb back to meet Divine in Dirtmouth. When you do visit Divine, you can see that there is a body part of the Leg Eater lying on the ground, with the heavy implication that Divine ate him. Nonetheless, if the sexual cannibalism between bugs still applies here, one can say that the two had a mating session before the Leg Eater's demise!
There is a big fossil of a bug hanging in Deepnest that resembles a trilobite. In-story hints imply that it is one of the bugs belonging to the Ancient Civilization that existed for a long time ago. This has a reference to the fact that the real-life Trilobites were known to have existed 521 million years ago and that they were from the earliest known group of anthropods.
If you die while fighting the Collector, you will find that it has bottled your shade much like the other critters in the Tower of Love, likely to be added to its collection.
Since the Pale King's criteria for a Pure Vessel requires them to have no mind, nor voice, nor will, an Empty Shell with no emotions, then what does that mean for the numerous other Vessels thrown in the Abyss? They could have felt emotions or developed curiousity and reasoning. With these traits, the other Vessels are aware that they are the unchosen. Imagine a child being thrown in a locked room, suffering and constantly asking itself the reason why it was rejected, and there's no one giving the answer... One could say that all rejected Vessels including the playable Knight might have experienced depression and existential crisis at such a young age.
Everytime the Knight leaves behind a black Shade when it dies, Confessor Jiji calls the shade as a "stain of regret". One could say that this has a bit of a Truth in Television when it comes to religious or occult topics. Folklore and supernatural beliefs of some countries suggest that when a person goes through a lot of mental, physical or emotional trauma, they release negative energy, that energy would then be unconsciously channeled and left behind in one of that person's most-used belongings. This is one of the many reasons why paranormal experts believe that restless ghosts with "unfinished businesses" are a result of a dead person's regrets or the things that they wanted to do when they were still alive but failed due to some circumstances, that regret is still present as a mark in the physical plane, mostly their prized possessions.
Likewise, some paranormal experts also believe that ghosts are stuck in the place where they last died, being trapped there and unable to move on. Suddenly, it would make a lot of sense why the Knight's leftover Shade is also idle unless you get close to it. That logic could also be said to explain why the failed Vessels or the siblings are only left in the Abyss, being unable to climb back up, since they're already dead.