Spelunky/WMG

The entire game is a simulation in a Zeerust future world.
This would explain the and the.

The whole cave of Spelunky is a twisted gameshow or reality show.
Contestants climb in for riches, contestants get chewed up by the deadly traps and criminals inside the cave, the viewers get to watch and enjoy. Anyone who survives is allowed to keep their money but has to return all the equipment and weapons they found... and they can dive into the cave for even more money if they desire.
 * This actually explains why there are shops everywhere, despite having no visible target market aside from the player. Unless...

"Kissing" the Damsels is just visual shorthand for something else.
The Kissing Booths are lit by red lights, it costs upwards of $20,000 per "kiss", and it always (except for in the booths) takes place in completely safe "between" areas.
 * I think this is less "Wild Mass Guessing" than "correctly interpreting the author's intention."
 * Which makes the shopkeep just plain creepy..
 * Considering he's hinted at regularly beating his Kissing Damsels and will readily shotgun them down if provoked?

The City of Gold is a hallucination and you're just shoveling rocks and rubble into your pockets.
The sheer psychological strain of getting the Hedjet and opening the sealed door, only to find nothing of value inside, loosens the Spelunker's grip on reality.

All the Damsels are actually men.
Look at that face and try to tell me there's nothing definitively masculine about it.

Kissing the damsels is not a euphemism; that's actually all that goes on.
The main hero is just so utterly terrible around women, that actually receiving any attention, let alone a kiss, significantly increases his will to live, more than any of the vast amounts of treasure he collects.

Each attempt is the Dying Dream of the previous Spelunker in a Mind Screwy reality warp perpetuated by dark, twisted magicks.
When a Spelunker dies, their final moments are spent imagining a scenario where they made different decisions. If that adventurer fails, reality is warped just a little further as that explorer has their Dying Dream, and so on and so forth. The cycle is perpetuated by the restless spirits of all the hapless Virgin Sacrifices, Distressed Damsels and Adventurer Archaeologists trapped in this wretched, cursed land; if anyone actually makes it, their soul is free to move on, along with those of any they 'saved' during their successful journey. But for every fortunate soul that finally escapes the curse, countless more remain trapped in the cycle, making attempt after attempt...

The shotgun is an Evil Weapon
The shotgun is a cursed weapon. Notice how every shopkeeper sets up in a strange location and is willing to kill you over minor things. Notice that they also always have a shotgun. Coincidence? I think not. Finally, look at how many players murder the shopkeepers just to get it.
 * Or with it.

The skeletons are the remains of previous Spelunkers.
Pretty much Exactly What It Says On the Tin. This explains, 1) why the Tunnel Man gets to keep his progress, even when your death is "undone", 2) why there are shops everywhere, including gambling parlors, and brothels. Still doesn't explain the crates, or why everything changes every time you come back, which leads to my next theory...

The game is the Spelunker equivalent of Valhalla.
Instead of fighting and feasting for all eternity, the Spelunker gets to go on dangerous and glorious cave dives without worry of life or limb. It explains a lot of "inconsistencies", like the crates, the random dungeon, the shops, the Damsels who've survived apparently indefinitely without food or water... It's all part of our red-nosed protagonist's personal heaven.
 * This could also mean that the Damsel was his girlfriend/significant other in life, with the Tunnel Man being his Black Best Friend and/or Guardian Angel.
 * It makes the things he does to her raise even more questions.

The Spelunker is dead and the cave is Hell
The spelunker died of dehydration in the desert. His spirit found the "cave," actually the portal to Hell, and he was compelled to enter due to his sin of greed. There he is forced to pass through the cave again and again, atoning for his sin. As for the rest of the game...
 * The damsels are the personification of innocence. For selflessly saving them they grant him their innocent kiss, strengthening his resolve. When he has saved enough of them he can take on their appearance, showing that he is becoming pure. In the damsel's body the beings he saves look like him for that is innocence's will: to save him from Hell.
 * Kali is the spelunker's own sin given form. She seeks to prevent him from leaving Hell by rewarding him for doing evil, especially to have him betray innocence by sacrificing the damsels, an act for which he will always receive a tangible reward. He can ignore her if he likes, but he can never completely deny her by destroying her altars without having terrible things done to him. His sin is powerful indeed.
 * The Ghost is one of the demons responsible for the spelunker's punishment. The Ghost chases the spelunker through the cave, ensuring he can never rest or find peace of any sort.
 * The shopkeepers are more of the demons in charge of his punishment. They are bound by divine will to help him atone, by rewarding him for sacrificing his money, thereby abandoning greed. However, if he commits any sin against them, be it wrath (attacking them), or greed (stealing) the bonds are broken and they are free to destroy him, sending him back for another attempt.
 * The shopkeepers who run the kissing parlors may appear to be twisted, forcing the innocent damsels to do their bidding, but they are in fact another test. Sacrificing large amounts of wealth will earn him another innocent kiss. By giving up even more money he can save them from the clutches of the demons, but only if he is that willing to give up his greed.
 * Tunnel Man is the spelunker's guardian angel. By sacrificing money to the Tunnel Man (again, abandoning greed) the Tunnel Man can create "shortcuts" to make his quest easier. By completing many harsh challenges he gains the ability to "replace" himself in his punishment by Tunnel Man, the angel taking up his burden so that he may rest, even if only briefly.
 * The City of Gold is perhaps the harshest punishment of all. In his sinfulness this place, full of treasures beyond imagining, is his vision of Heaven, but it is in fact only a fraudulent mockery. By performing great deeds and sacrifice he can earn the right to enter, but his gain is hollow. His greed to own the treasures himself compels him to destroy the place, leaving nothing worthy of desire. He has still not found rest, he must move on.
 * The final boss is the embodiment of greed: a gold statue of immeasurable value, exactly what the spelunker has always wanted, and yet not only will it be forever denied to him it will be his downfall. However, even if he overcomes this final challenge he still has not escaped...

The Spelunker is a Favored Soul of Kali.
Many people who play the game may eventually wonder why many parts of the cave only work for the Spelunker. Some traps will only trigger for him, enemies (with some exceptions) will only attack him and not other enemies, damsels, or shopkeepers, and for that matter, why is the Spelunker always blamed for the destruction of Kali's altars, even if he didn't do it? It's only explainable if he is in some way special.

He is. He's a favored soul, sort of a "mini-avatar", a human who has been given slight amounts of his goddess' power and favor. He followed a trail of clues to the cave so that he could take Kali's test to see if he is worthy to gain her treasures.


 * This is why looters haven't yet taken all the gold, despite the presence of shopkeepers meaning humans have clearly already found the cave: no one Kali deems unfit may enter.
 * Kali always blames the Spelunker for her altars' destruction because of his connection to her. Even if he didn't destroy the altar himself, he was expected to protect it.
 * This is also why you can sacrifice the cultists in the Temple for high favor. Why would Kali like you sacrificing her own servants if you weren't above them in her eyes?

Why is he a favored soul, though? Simple He can't be her son or avatar because he's not powerful enough. He's not a simple priest or high priest either, because then he would be equal to the cultists, not above them. Lastly, he's not a normal mortal because then he wouldn't be treated so differently. By process of elimination he must be Kali's favored soul.

Shops are found in the dungeon because they are illegal
Let's start with the content of the shops: There are brothels, gambling parlors, and two distinct types of weapon store; one can possibly extrapolate that the specialty stores are in fact selling stolen military prototypes (explaining the jetpack) and so forth. In addition, the only collection of multiple shops in one level is called the Black Market, and yet contains nothing one would not find in a standard shop. This leads to the fact that all the shops are in fact illegal, and can only avoid being shut down by being set up in a treacherous dungeon.
 * This also means that the Spelunker, if you wantonly kill and steal from the shopkeepers, is actually a Well-Intentioned Extremist trying to uphold the law.

The shopkeepers are Nazi war criminals.
Given the nature of the spelunker as an Indiana Jones Expy one might notice the distinct lack of Nazis, prevalent in the Indian Jones series, but not to be seen here. Perhaps Spelunky takes place a decade or so after World War 2, and many Nazi officers fled to the cave to escape justice for their crimes. The higher technology such as the teleporter and the jetpack are easily explained: they're not inventions of an advanced humanity, but rather come from.

The lanterns in the stores are actually security cameras.
That's how wanted posters with your picture are made,even when you kill the shopkeeper and you are the only one around.