Yume Nikki is a strange, unknown game, with no dialogue and a unique art style. So, of course, the fans created many theories, some good, some bad, some complex, some that make us laugh. This article will categorize the theories by character. There will then by long theories with contributions from most characters.
It's also worth noting that TV Trope's Wild Mass Guessing page on Yume Nikki contains a wealth of theories too, some of them more fleshed out versions of the theories seen here.
Madotsuki
Madotsuki was raped.
In the game, there is much evidence that Mado was raped. In the Forest World, along a strange road, several creatures in the background with eyes watch over you. The last one's eyes follow you for a split second as you leave. Many claim these are ovaries, which adds "sexual content" to the game. Other incidents with eyes include the Eyeball World and the Barracks where entering a certain shed can lead to a tunnel where eyes follow the player. On the way to the Witch effect eyes in the trees follow the player. The theme of being watched seems prevalent.
Hands are also scattered throughout the game, what with the staircase lined with reaching hands on the way to Seccom Masada-sensei, sprouting out of the ground in the Eyeball room, and at the White Desert too. The room Uboa teleports you to, with a nightmarish landscape where a monster with multiple hands grasps hills in the background, is reminiscent of groping to some players. Unwanted touching seems to be a theme.
Some say that Kyu-Kyu, a large colorful pole creature, rubbing the banister of a stairway, is phallic imagery. The Knife and Cat Effects alter the speed of which Kyu-Kyu rubs the rail of the staircase, speeding it up or down. Full-screen events feature an event called FACE, which is achieved by going through a door right next to Kyu-Kyu. Some say it resembles a penis, fear itself, and/or static. The sequence in which the player stabs through a wall, leaving a bloodied hymeneal opening, leading to a seemingly benevolent phallic-shaped Kyukyu-kyun, leading to a terrifying FACE, suggests sexual assault to some players.
A dread of pregnancy, possibly originating from being raped, can be interpreted from monsters whose shape resembles a pregnant woman who has lost her head.
Something else to consider, is that Nasu, or eggplant, is a symbol of fertility in Japanese culture.
Madotsuki lives in an apocalyptic world.
Madotsuki seems like a perfectly normal girl, albeit possibly being a hikkikomori. Yet her dreams are strangely terrifying and eccentric, and she acts like she has been there before, displaying almost no emotion. That combined with the fact that her apartment is the only one in view, and she wont leave, and her TV doesn't get any channels, and her only source of entertainment is a NES game, it would seem that whatever is out there is worse than what is in her dreams.
Madotsuki is a transgender.
She is male but identifies as a woman and lives and dresses in her desired gender role. It could also be vice-versa. The characters could be distorted versions of friends, family, and peers that have alienated her (or him) after she/he came out to them as a trans woman or a trans man. In support of Madotsuki actually being a female to male transgender, the psycho Toringen could stem from Madotsuki feeling that his own, female body is working against him. The blood, and imagery of female reproductive systems are signs of hate and resentment towards periods and female puberty. While the phallic imagery could hint, in this case, towards his desire for a penis and male reproductive organs, they could also hint that when he came out as a man, it was met with violence. Many trans men are victims of rape from cisgender male attackers, as the attackers feel that raping them will put them back in their "place". The Toringen party could hint at Madotsuki's separation from the cisgendered girls.
In support of the theory that Madotsuki is a male to female transgender, the Toringen party could actually mean that she is isolated from them due to her not being a real girl in their eyes. The psycho Toringen could be classmates that shamed her into dropping out of school and locking herself away. She still could have been raped by cisgender men on coming out, as it is also a common method of "teaching" a lesson in hate crimes, but the more horrific instances of phalic imagery could be Madotsuki fighting against her own biology, and resenting it.
There is also a small possibility of Madotsuki actually being intersexed. She could either have breasts, and female genitalia on the outside, with testes where her ovaries are meant to be, or she could have the male organs outside, and the female inside, which could explain why both female and male reproductive organs have such a horrific depiction in many areas of the game. Many intersexed people suffer from anemia caused by lack of appropriate hormones. This could explain, possibly, that Madotsuki sleeps so much because she is lacking energy.
Madotsuki is a lesbian.
Poniko is her image of a perfect beautiful girl she yearns connect with but can't because other girls she knew in the past weren't "weird" that way. She resorts to desperate measures to try and get Poniko's attention (going through different effects, flicking off the lights). Thing is, she feels her thoughts are dirty and she's afraid of other peoples' reaction. Uboa, a manifestation of that fear and guilt, pops up. The signs that people interpret as rape (Kyukyu-kyun + Face, the hands and eyes scattered everywhere, the decapitated pregnant belly things, etc) aren't signs of a past rape trauma but a dislike of penis, distaste of being watched by men, fear of judgment, and fear that she too will be expected to get married and give birth some day.
Madotsuki achieves a happy ending.
A theory that proposes that Madotsuki was dreaming all along. Her suicide at the end is the result of her finally coming to terms that nothing in the world is real and she has been trapped in a dream. She escapes by killing herself so she can jolt herself awake. This theory is backed up by dream creatures who surround her bloody smear in the "real world" after her suicide, the fact that her eyes are always closed, the surreal and ever changing landscape outside her apartment/house, and how she's unable to leave her room.
Madotsuki is a representative character.
Madotsuki is by no means a common Japanese name, it means something similar to "window". This name was most likely chosen to show that she is not just a game character, but a "window" into the life of people who are antisocial, depressed, alone, disturbed, etc. Madotsuki's dreams portray many different views on depression and unhappiness. These different views are not meant to represent specific events in the fictional life of Madotsuki, but general events in the life of someone who is "different". The Toriningen party could have represented a social status that a person could not reach, no matter how hard they tried. Poniko/ Uboa could represent distrust and false friendships. The strange "people" in the Department Store have no face and refuse to speak to her, possibly representing how these antisocial people may view others. This game is far too abstract to be viewed as a simple and linear plot, so a representative theme would make much more sense. In a sense, Madotsuki is the poster-child for all children and adults who feel like they just don't fit in.
Madotsuki is a murderer.
Depending on the player's actions, Madotsuki can behave violently towards NPCs and sometimes inanimate objects. Given that she finds the Blonde Hair effect near a red puddle, maybe she killed one of her friends, and the puddle represents blood. Perhaps it was a killing along the lines of the Sasebo slashing. Madotsuki doesn't want to go outside because she feels remorse for her actions.
Poniko
Poniko was the rapist.
Kyukyu-kun is not an image of a penis, but of a dildo (the rubbing imagery he's named for shows much more similarities to masturbation). It starts out a little odd but friendly enough, then it progresses into something frightening and terrible (FACE, or the rape).
Also, whenever you go into Poniko's house, it typically takes many times of going in and out, turning off the light switch, when suddenly she turns into the scary monster Uboa in a scary locked room that, when it touches you (you get in distance) sends you into an inescapeble groping place.
Her shifty-eyed gaze also seems to resemble someone who is sneaky, or scheming, possibly of touching Madotsuki.
Aztec Imagery
It is possible, since the Aztec Rave Thing appears a lot in Madotsuki's dreams it is a complicated, unique image that she created and uses to remind herself she is dreaming. It may also be an image she focuses on in bed.