- Here's what I think happened: The First Guest had realized early on how dull and boring his life was, and saw suicide as the only way out. So he tried to kill himself and wound up at the hotel in the first place—however, he wasn't actually dead, just comatose and in the hospital, so he still held onto his sanity and still wanted to leave and go home. Returning to reality was him waking from his coma, but he remembered why he'd attempted to kill himself in the first place. Some of the final shots in live-action are of a street and of a flashing light that appears to be a siren. Meaning the First Guest, on his way to or from work, stepped out in front of a car and died on his way to the hospital. The Second Guest was also Driven to Suicide due to her despair of her situation. I don't have any idea as to how she died, but she never woke up from her attempt, lingering until she finally kicked the bucket and remained in the hotel for all eternity. Some cultures/religions do believe suicide victims to be "lost souls" and believe they can go to neither Heaven nor Hell... This probably happened to the Guest in the PS2 game as well, considering that Gregory, when trying to convince you to stay, tells you to remember "that dark night," which is how the First Guest described the day he first entered the hotel.
- The purpose of the hotel seems to be to prevent people from returning to life. Dying in Gregory House doesn't necessarily equal death in the real world (see: the literal 'fire escape' at the end of Season 2). Gregory House is the equivalent of holding people down until it's too late for them to do anything. As Gregory says in Season 1, "Remember, he mustn't recover but he mustn't die."
- Gregory is the manager of the hotel, and it's implied to be something more than an old, smelly rat. He understands what the guests are afraid of really quickly, and will use it to his advantage to psychologically beat them into surrender. Plus, while many other guests are so fixed with their little obsession, he seems much more calm and rational. But he is not immune to what the hotel has to offer: he fell into Catherine's "cures", for instance. Then comes his "family": James, his troublemaker grandson who gives him more than one headache, and his really unbearable mother. And then there is Neko Zombie. Gregory apparently physically tortured him, and he never did something that directly threatening to anybody else; Neko, while holding a grudge against Gregory, apparently doesn't have this as obsession, i.e. his hate against the rat is not the reason he is stuck in the Hell Hotel in the first place. Plus, Neko Zombie is one of the few characters to seriously threaten Gregory - he even burned down the hotel! I think that, while Gregory is in charge of the hotel/purgatory, he is still affected by it. Therefore, since the Hotel works on the fears and obsessions of his guests, sometime it arranges things so that Gregory's fears became true. In particular, two of them are especially strong and destructive: the destruction of the hotel, his "playground", and Neko Zombie freeing himself and chasing him down.
Each character is meant to represent a fear. Rather than a clear cut phobia, like Fear of Spiders, or Fear of the Dark, they instead represent a haunting reality...
- Judgement Boy: Represents the fear of Consequences, or how the smallest choice you make can still effect others. He also represents the pain of living with your choices.
- Hell's Chef: Represents the fear of breaking social norms, not criticisms. A social fear of stepping out of line and saying what you actually feel for fear of social ostracism, or worse, physical attack.
- Clock Master: Represents the fear of losing your talents to time. Clock Master brags about how he could once control time masterfully, but has lost that talent due to his advanced age. What's worse, he once had the ability to rewind time and make himself younger...but that too is just out of his reach.
- The Mummy family represent a fear of death, or rather, how death can destroy a perfect family. Mummy Dog represents the fear of a parent outliving their children. Mummy Papa represents the fear of a parent dying and leaving their child alone and unprotected. Mummy Mama, with her intelligence draining plant, represents the fear of Alzheimer's or some other slow, mental deterioration, like Dementia, and the child having to care for their parent and watch them slowly die.