Bone/WMG

The Bones are all evolved incarnations from actual bones of dead dragons.
This is a theory I suddenly came up with while reading the last volumes many years ago. I really have nothing to support it, besides the fact that some of the dragons did die within the storyline's past. It would also explain the appearance of the Bones in a very logical way anyway.
 * Support? This is Wild Mass Guessing! You don't need support! Just give us your pet theory and we're good.
 * Actually, that would explain why the Bones can talk to animals -- it becomes clear later in the comic that most humans can't, only the ones who are particularly attuned with the Dreaming.

Rose/Gran'ma Ben is actually an evil sociopath
Think about it. In volume 3: Eyes of the Storm, Rose casually talks about how to kill a chicken and makes fun of the Bones for being squeamish about it. This might not mean anything, except that all animals in the Bone universe are intelligent and can talk.
 * All? Not the cows, certainly, so why can't there be both sapient and non-sapient animals in the Boniverse?
 * Ah, but the cows are obviously in on it. Their not talking is just them playing dumb.
 * Word of God (from the letter's page, answered by Jeff Smith): "Everyone knows domesticated animals can't talk!"
 * So basically none of this really proves she's evil or sociopathic, she was just explaining killing a certain animal for food to a bunch of "city boys"

Boneville was wiped off the map after a nuclear holocast during the time the Bone Cousins were away
Sure makes an already downer ending more downery, doesn't it?
 * Jossed, at least if you accept Quest for the Spark as canon -- Boneville is still there and the Bone cousins (and Bartleby) have become minor celebrities, even if not everyone believes their story of the Valley.

The Bones Return to Barrelhaven
Fone bone realizes that he can't live without Thorn, Phoney gets kicked out of Boneville (again) and Smiley comes just to bug Phoney. I realize that there is no evidence or this, but dangit, I hated the ending.
 * Again, Quest for the Spark seems to have Jossed this, but of course that story isn't over yet and you never know what might happen in the future...

The entire Bone saga is one of Big Johnson's Tall Tales
He's telling some companions of a time when he came across a gypsy who told him about incredible feats that will be performed by his descendants in the distant future. In reality, no such meeting occurred.

Bone exists in the Homestar Runner Universe
After the Bones were run out of town, the Citizens of Boneville (who are actually the Homestar cast) changed the town's name to Free Country USA. Upon their return, the King of Town sampled some of Smiley's stuffed bread thingies and immediately launched a diplomatic mission to the valley for the sole purpose of getting the recipe. Fone and Thorn were reunited and now regularly go double-dating with Homestar and Marzipan. Strong Bad gives lectures to teach the technologically backwards valley-folk about the modern world.

Phoney is the reincarnation of
Upon his death,

The Bones come from an alternate "toon world", and have somehow stumbled into a live-action Lord of the Rings esque world.
The Bones are apparently creatures that are unique while they're in the valley, but they don't make any mention of being odd back home. Also, while real world physics apply to the valley people (aort of), the Bones have shown not just disregard for physics, but downright cartoony behavior.

The Bones are actually real people, while the valley is the fantasy world.
Think about it: disregarding the way the Bones look and their blatant cartooniness, they come from a civilized society that uses paper money, knows about nuclear power, has mayors (and I can only guess higher democratic positions), know about mythical beings from stories but have never seen them firsthand. Compare to the valley, also civilized but much more primitive, relying on a bartering system, use magic and/or manual labor to do daily work, have medieval monarchies, and have some fantasy creatures that they know of but claim that others are just fake (only to be provwn wrong). It seems to be just as much about a story of real people winding up in a fantasy land as it is of two fictional genres meeting.

The story takes place in Fictionland.
Well, all fiction does by definition, but this one follows a glitch in Fictionland. The three Bone cousins are the stars of a cartoon series about their hijinks in Boneville. the show has a running gag: every episode ends with the Bone cousins being chased out of town, returning next week for new adventures. Then one day the show gets canceled, the cousins are stuck in the vast, uncharted outlands and end up in a neighboring work of fiction - a high fantasy novel series. Their success in returning home depends on the show returning for another season.
 * Well either that, or the show has just gained some Cerebus Syndrome

Excalibur is a Bone.
He got kicked out of Boneville for being Excalibur.

Thorn's father was a Pawan.
When we finally see his face, his beard is shown to be tied in a knot in the style of the men of Pawa. Has this been confirmed or denied anywhere?

The Rat Creatures' tail-removing tradition is an allusion.
Think about it.

The two stupid Rat Creatures will eventually form a genuine friendship with the other heroes in Quest for the Spark
At which point, they will be given more dignified names instead of.

Rat Creatures have an adverse hormonal response to leadership.
Normal-sized Rat Creatures, as revealed by the two stupid Rat Creatures, don't get names unless they're important. Their kings and queens, meanwhile, are all horrifically engorged. We even see Kingdok grow larger over the course of the story (compare his appearance in "Out From Boneville" to "Old Man's Cave"). The Rat Creatures' current leader isn't too big yet, but he's already bigger and more monstrous than the usual sort, and might get even bigger in the future.

Ted the Bug's species is more powerful than the average bug.
First off, Ted the Bug can talk to humans and animals alike, no matter their attunement to the Dreaming. Secondly, Ted seems to be much older than you'd expect (at least, old enough to have remembered Thorn's mother).

Thorn is a Kryptonian.
Think about it. She starts getting new powers as the plot demands, gets Super Strength and even flight. She's a survivor of Krypton! Hence why her powers are awakening slowly.