The Imaginarium of Doctor Parnassus/WMG

The Devil is in fact Mad Jim Jaspers
Bowler hat, thin mustache, cigarette holder, and being a Reality Warper in general. He might have come from an alternate dimension to grant immortality to Doctor Parnassus for amusement.

The mirror mutates Tony each time he goes in.
For everytime Tony goes into the mirror, it not only changes him psychically, but mentally as well. Note that it was the fourth time that Tony went in before his personallity was changed from when he was played by Heath to when he was played by Colin and why there were shades of both when he was played by both Johnny and Jude.

Mr. Nick isn't the "real" Devil.
He's an equal but opposite product of Parni's powers. While Parni seeks to forward humanity through the enlightenment of imagination, Mr. Nick is the dark side of humanity's indulgences, and was made real when used as a metaphor by one of the story-telling monks, or even Parnassus himself, in the monestary.

Percy is an angel.
He always seems to be there in the flashbacks, keeping the immortal Doctor Parnassus on track and helping him fight the Devil. Therefore, he must be immortal himself -- and have some serious commitment to the Doctor. My best guess is that he's been assigned to help save souls from the game.

The Devil's real target was Tony's soul.
Not originally -- he's a gambling man who happens to keep his bets and bargains. But the events of the film were planned out by Mr Nick in a Batman Gambit to get Tony -- utterly evil, and yet so egotistically self-justifying that he would never admit it, even to himself -- into his power. That's why he was so willing to give up Valentina, why he deliberately discounted his first soul, and why he didn't try too hard with the women (I mean, seriously -- a seedy motel, or a gondola ride? For a middle-aged romantic?).

Tony is The Joker.
Who else would be smart enough to plan on being lynched/fake a suicide by hanging and depraved enough to ? He's not as insanely dangerous only because he was still recovering from amnesia.

The Devil thinks of Doctor Parnassus as his best friend
Why else would Mr. Nick go so easy on him?