Sonata Arctica/WMG

Tony is a serial killer.
Between "The Boy who Wanted to be a Real Puppet," Caleb cycle, and several other songs, Mr. Kakko seems to have a thing for songs about creepy murderers. Kinda makes you think...

Caleb killed his mother and dumped her in the lake.
Coming from the idea that she was "a beast" and that he "rowed towards the monster he should've been running away from years ago." Indeed, he should have run away from her when he was a child.

"Deathaura" is the prequel to "The Power of One."
"The Power of One" is a song about a man, cursed with eternal life, fights those who dare to oppose him. "Deathaura" ends with the unnammed boy, who may or may not be dead, heartbroken and with a grudge against the world for killing his love- but also, possibly, with the powers of a witch. As the boy struck back against humanity using his power, someone cursed him with immortality, and thus, "The Power of One". Also note that "Power of One" has very lamentful undertones.

"Shy" is a link in the Caleb story, before "The End of This Chapter."
"Shy" explains how Caleb met Juliet. The girl's name is never stated in "Shy", so we could assume she is Juliet herself and that her stalker is Caleb.

"Shamandalie" is an Alternate Ending to the Caleb story.
In this ending, though, Caleb kills himself out of grief after killing Juliet.

"Abandoned, Pleased, Brainwashed, Exploited" and "Destruction Preventer" take place in the same world.
"APBE" is about a corrupt government. Somewhere along the line, they got Nukes. Thus, "Destruction Preventer."

Alternatively, "Destruction Preventer" and "As if the World Wasn't Ending" take place at the same time.
Makes sense... Destruction Preventer is about the world getting nuked, and, somewhere, a couple sits together, taking their last drinks of wine as if the world wasn't ending.