Etrian Odyssey/WMG

Guns are a recent invention.
Very recent. In fact, the technology to make guns, gunpowder, and bullets were taken from the within the Labyrinth of the first game. Found, studied, and sold. Within a few years they have become popular weapons in some circles, becoming common enough to be sold in shops by the time the second game comes around.

Dark Hunters learn their techniques by studying salvaged "technique magazines".
They generally aren't aware of their "original purpose", though clearly more than a few might suspect that their techniques weren't always used against monsters... But that sort of thing got lost in translation, After the End.

Etrian Odyssey III has an all-new roster of heroes because plot-wise, the player's Guild from Heroes of Lagaard can't return. And they won't, because...
While your Guild could easily make the jump from Etrian Odyssey to Heroes of Lagaard, certain endgame events make such a reappearance unfeasible -- mainly,. While your heroes are meant to be blank slates and everything about them hinging solely on your imagination, that sort of ending demands some sort of follow-up if they return... which is exactly why they won't.

Regardless of whatever path they decided to take with it, it'd be impossible to please everyone -- what might work as "perfectly in character" for some players' Guilds to do would invariably prove "horribly OOC!" for others. End result: one majorly Broken Base, something a niche series like Etrian Odyssey can't afford.

So while some mention might be made -- possibly even allowing your Guild in III to be inspired by them, a distant branch, descendants or cousins or what have you -- they won't enter into the main plot so as to avoid another Chrono Cross-ish incident.

Playing the Third Game Will Have Actual Physical Side Effects
When I saw the first info, screenshots, and trailers, I couldn't help but feel something bad might happen when playing. This is aside from the headbanging difficulty. Having an unexpected third installment to a much beloved series with the ability to be on a boat would be really exciting.

In EO III, all the inhabitants of Deep City are Yggdroids
The Abyssal King mentions that the Deep Ones feed on human emotion, which is why he cut off contact with Armoroad. Since Seyfried himself is an Yggdroid, we know its possible to transfer your consciousness into an Yggdroid body. Likely all the people who came along with him had their consciousnesses transferred into an Yggroid body as well.

Agata or Hypatia was revived once the body was brought back to town.
Why didn't they just ask someone from your party to do it? Agata's too much of an Idiot Hero and Hypatia was too griefstricken to think of it.

In the upcoming Fourth Game, .
The games in the series seemed to have a pattern going, in which an element from the previous game turns up in the next. In the first game,  In the second game,   The third game has Abyssal King Seyfried, who   Since the Sixth Stratum boss of The Drowned City  , it would make sense to bring that on a much larger scale in the fourth game, considering the Japanese subtitle, translated, is Legend of the Large God''.

At least one of the Special Classes will require the balloon to unlock.
While exploring with the balloon will still be optional, like sailing was in III, there will still be much more to do with it... including discovering the Hidden Elf Village of one of the Special Classes, enabling you to convince some of them to support your cause.

The Mystics of IV are distantly related to the Forestfolk.
And they know what happened to them.

Future Class Speculation
Guesses for what sort of classes could appear in EO V and beyond go here!
 * Exterminators: Consummate hunters with several skills suited for luring out, manipulating, and fighting F.O.E.s. May be a Special Class that is only unlockable by progressing far enough in their game's plot, or even as part of a branching path (where the Exterminators are Well-Intentioned Extremists out to tame the wilds of Yggdrasil)
 * Jesters: Combination Buffers and De-rezzers who raise their party's morale and taunt enemies. Could also send their allies into berserker rages.
 * Minstrels: Spellcasters who harness the elements through Magic Music. Distinct from Troubadours in that they focus more on using songs to alter the environment itself, by calling in things like cold breezes, choking heat and booming thunderstorms.
 * Researchers: People who study Yggdrasil in order to unlock more of its secrets. Serve as either Medics/Alchemists who also double as their game's best item harvesters, for obvious reasons.
 * Riders: A class who travels on a horse or other creature, they can fight on its back or choose to dismount and let their companion temporarily take the sixth slot (though allowing them to get knocked out renders them unusable for the rest of the battle).
 * Scribes: Badass Bookworms who can invoke the elements with the written word, carrying books or scrolls at all times.

The Player is actually the sixth party member.
Think of this, In almost every Etrian Odyssey game, your party is restricted to five members. Whenever you are in town, the game is played in your perspective. Whenever you enter a dungeon, you can still see where your party is and what they're doing. You can also draw maps of the labyrinth, something you wouldn't be able to do if you were sitting in town. Whenever your party gets into a fight, you tell them what to do, and normally, if they get wiped out, it's game over. Why? Because whatever slaughtered your party is coming after you next.