I once heard that not only Squall was dying after disc 1, but Rinoa was dead as well! And by heard, I mean that I decided to play through the game once with the whole "Squall is dead" theory in mind, and started to write my own variation on that which I think is more plausible really.

Ultimecia actually being the half of Hyne that he left to humanity in that whole myth is another good one.

Then there is of course that Rinoa is Ultimecia. I like the idea behind that one despite not agreeing with it at all.

I'm trying to think of theories that aren't FFVIII related, but I really can't think of any at the moment.