First time poster, long time lurker, so here we go.
I have a theory on just about every character (Character, not effects) And some random places, too. (This theory will be written somewhat like a story.)
So, Masada and Madotsuki are somewhat of a couple (I just like this pairing, like most people. Ignore what I said if you don't like the pairing) So Masa and Mado were just happily driving along the road when suddenly Masada/Madotsuki (either one) didn't break at a red light and they hit two people (Corpse-san and Monoko; which explains Corpse having the stoplight effect and him being on the road and the stoplight affecting Monoko) Now, I agree with what most people say about Monoko, her extra limbs are just what Mado interpreted her organs/blood to be, also, I think Monoe is what Madotsuki thought Monoko looked like before the crash. She was an average, happy girl. (Later or Before) Masada was on drugs (I like this theory) and his spaceship represents him being high. And then he "crashed". (Maybe after the crash he is still panicking because he was having a seizure or something I don't know.) So, Madotsuki leaves his "spaceship" and sees the outside world. The only way to see her memories is to shrink herself and look back on the past. (Midget) The train parts represent Madotsuki's thoughts on the literal "crash" of Masada. Mars-san is the memory of Masada. (I don't know how, that's just what I think.) But, before Masada died, he impregnated her. (Yes, Uboachan, I know you love the rape theories.) With no life partner to take care of her child, she thinks about getting an abortion (Hence fetus imagery) A few years after her son is born, she can no longer hold up with her son, so she decides to take her friend, Poniko's offer to raise her son for a while. While living at Poniko's house, Madotsuki's son was abused. Forced to wear a mask, 'Uboa' was beaten by his 'mother' daily. (The mask part is based on gijinka fan art, but the alternative to that is that Uboa inherited his fathers traits and his face is because of Poniko's constant slapping and punching.) Madotsuki later decides to visit Poniko, to see how Uboa is doing. With this known by Poniko, she stops abusing Uboa when the lightswitch is on. She only feels comfortable when the light is off and she knows no one will disturb her (1/64th of the time) So, when Madotsuki checks in (during that 1/64th) she sees the mask on her son and Poniko abusing him. (Uboa only shown because he is trying to defend himself because he notices Madotsuki) And the AAAAAAAAAAAAAAAAAAAaaaa is obviously him screaming for help. When interacting with Uboa, you're teleported to the Giant Colossal God place. That, because when Mado tried to reach for her son, he accidentally hit her, knocking her out. Uboa's stiffened and fearful face being the last thing she saw. (The actual Colossal Bleeding God could be the image of Poniko abusing Uboa?) Honestly, I think Poniko was always a bad best friend. Poniko touched her inappropriately or in ways Madotsuki hated (Hence all the hands and arms) and she always had the feeling of being watched. (And maybe Mado wanted to be cool, so she acted cool all the time to please Poniko, because she knew she was watching?) And I was watching ghost adventures the other day and they were talking about these people who had to go to the mental hospital and died there. I think Mado was one of the people in that time period where having a mentally unstable family member was not acceptable, and her family couldn't afford a mental hospital, so they locked her in her room instead.
Over all, I think Yume Nikki is a disturbing, grotesque, sweet and heartfelt game. I love it so much and I love to hear theories from everyone.
Note: Strangely, I still find Poniko really nice o_o
Picture somewhat related.