Home Alone/WMG

Marv is drunk in the second film

 * It would explain why he seems so much dumber and goofier than in the first film.

Kevin, his family, and Harry and Marv all get killed in the second film and the final twenty minutes or so of the movie takes place in the afterlife

 * Marv dies when he gets electrocuted, Harry when he sticks his flaming head in the kerosene-filled toilet, and Kevin himself dies either in the ensuing fire or from some other mishap (such as possibly falling into one of his own traps). Kevin, Harry and Marv wind up in Purgatory where the next segment of the film takes place, and when the pigeon lady shows up to rescue Kevin from Harry and Marv, she is actually an angel sent by God from Heaven to save Kevin; the cops who arrest Harry and Marv are Satan's minions coming to take them to Hell. Kevin's mom dies when she is murdered by a random thug on the streets of New York, and joins Kevin in Purgatory, and the rest of Kevin's family are killed in a plane crash while transporting their bodies back to Chicago. The last scenes of the movie take place in Heaven where Kevin's family are reunited with him and the mom--note the cheery mood and how brightly lit the "hotel suite" is.

Kevin grows up to be Jigsaw

 * Kevin was quite adept at dishing out vigilante justice with a variety of gruesome traps, particularly for an 8-year-old. It takes a twisted mind to permanently brand someone with a doorknob. His neglectful parents apparently never bothered getting Kevin therapy after two felons threatened to torture and murder him, since he deliberately runs away from a second family vacation, and his traps are noticeably more brutal in New York. Imagine what a kid like that would grow up to be.
 * As a preteen, he was like Henry Evans.
 * Chris Columbus in the commentary did say that he once pitched an idea where a grown-up Kevin escapes from prison. You might be on to something.
 * So Kevin grows up, gets sent to prison for something (most likely a trap or prank gone horribly wrong), escapes during a prison riot (which he himself caused), flees the state, hides away until the heat is off, and legally has his name changed to John Kramer. It's all falling into place!

More cheerfully, Kevin grows up to be a brilliant engineer/mechanic/architect/etc.
Actually building those traps (rather than just thinking them up) is quite beyond the skill of most children, as Roger Ebert pointed out. Particularly the ones in the second movie.

Even less cheerfully, Kevin grows up to be the Joker.
He has already shown a disregard for the law and a preference for chaotic, convoluted plans over straightforward ones, not to mention causing much more pain than is strictly necessary to accomplish his ends. He is adept at forcing his opposition to second, or even third-guess their own decisions. Several of his traps can only realistically work if he is either a genius at reworking his plans on the fly or he has eight or nine layers of backup plan to fall back on.
 * The progression of events is likely similar to the "Jigsaw" theory above. A prank or trap goes wrong and someone is killed or seriously hurt, Kevin goes away for a long stretch, prison changes a man, and he emerges a madman with little interest in anything except causing horrific "mischief".
 * Note that the Joker has just as much contempt for other criminals as he does for law enforcement - no doubt a result of his childhood experiences with Harry and Marv.

Harry and Marv become circus performers after serving their jail sentences following the events of the two films.
After surviving everything Kevin did to them, unscathed, they realize they can make a solid living showing off how invincible they are.

Kevin is in a coma

 * For the beginning of the film, Kevin is alive. But he is nearly killed when Buzz's shelves collapse whilst he climbs them. The rest of the film is Kevin's mind playing out an idealized sequence of events to both amuse and keep him sane: The traps he sets up and the pratfalls the Wet Bandits endure are cartoon-like, which is enough to keep him from going insane from realizing the truth.
 * That doesn't explain how Kevin's father found Harry's gold tooth at the end of the first film.
 * Still in a dream. Kevin never wakes up during the film.

Kevin is a distant cousin of Fred Jones

 * And trap-setting is an almost hereditary talent in their family.

Old Man Marley paid for the toothbrush...

 * After the clerk gave up chasing Kevin.
 * He was there and probably recognized the neighbour kid; and he seems nice enough.

Old Man Marley and the Bird Lady are both serial killers

 * Just because they don't kill Kevin (at least, not right now), doesn't mean that they aren't serial killers...
 * Maybe Kevin is too likeable to be killed.
 * Ask Harry and Marv about that...
 * Maybe they like him whilst Harry and Marv hate him.
 * Marley and the bird lady like Kevin because he didn't smash them with paint cans and lead pipes and irons and electrocute them and blow them up.

The Wet Bandits have some sort of medical condition, or are on some sort of drugs, that prevents them from fully feeling pain.

 * It's the only explanation apart from Rule of Funny. They do show some pain, but nothing like the agony they should be feeling, especially in the second movie.

Buzz's story about Old Man Marley...

 * Wasn't just to scare Kevin. Marley probably called him (or him and his friend[s]) out for being jerks and this was malicious slander. Scaring the crap out of his brother was an added bonus.

Kevin grows up to be John McClane from Die Hard

 * I first heard this idea on Cracked.com, don't know if they invented it. Anyway, Kevin and his family eventually enter witness protection and change their names to escape the robbers, since they're determined to kill Kevin in revenge. But Kevin himself (now called John) likes crimefighting and New York so much he returns to the city as an adult to become a police officer.