Thief (series)/WMG

Garret is still stuck in the Cradle.
Garret never actually was able to leave the Cradle, the last part of the mission was simply a trick by the Cradle to make him think he left. In reality, he is now the Cradle's newest patient, and the rest of the game, and any future games in the series that feature Garret, are halucinations by him as he roams the halls.
 * Alternatively, he was inside the Cradle all along, one of the orphans who died in that fire, dreaming a Dying Dream of becoming a great hero of the City.

The trickster deity is HP Lovecraft's Great old one/Outer god Nyarlathotep.
Nyarlathotep, like the woodsie lord is a trickster who manipulates people. Plus the precursors mention in a scroll that they made offerings to a deity called N'lathotep to stop the catyclysm and appease his anger. Also the Cthulhu statue raises the question of whether Cthulhu had a part to play in their downfall.

The girl from the Deadly Shadows final cutscene will be the protagonist of the next game
Or was it a boy? Anyway, they were certainly going for the Book Ends effect in that scene, probably implying that Garret will assume Artemus' mentor figure role in the next game.
 * It was a girl. Cutscene script files use the article "she" in refference to her.

Thief is set in the same universe as Arcanum of Steamworks and Magick Obscura
It very well could be, but probably on a different landmass than Arcanum's main continent (this would explain the absence of Tolkienian humanoid races and the bigger amount of Beast Man races). Besides, during the course of the trilogy, we never really leave the City and its environs and only find minor references to the outside world. Who knows, maybe the City originally started out as an overseas colony of humans from the main continent in Arcanum... Also, the elements most notably shared by Thief and Arcanum include themes such as the transition of a gritty late medieval fantasy world to a more technological and industrial one, The Magic Versus Technology War and the overall decline of magic and wizards. And both settings feature locations with ruins and advanced technology left over by a mysterious precursor civilization.

The Machines are in Charge in Thief II: The Metal Age
The clue is in the name "Soulforge". Carras managed to make a thinking machine; maybe it's the huge computer that you find in one room in Soulforge Cathedral. He believes that it is the Builder; his apparent conversations with the Builder in his journals aren't voices in his head but chats with the AI. The machine wants to take over the world and is using the Mechanists to further its goals, with Carras as a mouthpiece.