As the developers said in their introduction, each game both answers and raises questions, and The Cave does exactly that. I put some of the more prominent questions together here to help me organize:
Q: Who was the masked man from Theatre?
A: That was Mr. Owl's human form.
Q: What is the Woman's name?
A: Laura Vanderboom.
Q: Is she the reincarnation of William?
Q: Is she Rose's daughter?
Q: How exactly did she die?
A: It was suicide. She cut her own throat with the Knife.
New Questions Raised
Q: What's the purpose of a golden cube?
Q: If Mr. Crow and Mr. Owl are already immortal, how come they still need the Elixir?
Q: How are they able to switch between their animal and human forms?
Q: Why, and when, did the Woman leave Rusty Lake?
Questions Skipped Over
Q: What's happening to Dale?
Q: Why are the memories of various characters (the Woman, Bob, and the five Hotel guests, to be specific) being fed to the Lake? What's the point of that, especially since the process of extracting black cubes creates Corrupted Souls?