The Wee Free Men/WMG

WMGs for Discworld/The Wee Free Men, A Hat Full of Sky, Wintersmith, and I Shall Wear Midnight. Warning: Potential unmarked spoilers.

The Smurfs was created by the Queen of Fairyland to bother the Feegles
Blue Eusocial Violent Glaswegian fairies who would be incenced at the show that is clearly a Sugar Bowl Expy of the feegles.

The Nac Mac Feegle are right.
The Nac Mac Feegle believe that Discworld is their afterlife; more specifically, their equivalent to Valhalla, because why else would it be so perfect for them? Canonically, everyone gets the kind of afterlife they believe in (so History Monks get reincarnated, the Omnians all have to cross a lonely desert, etc.). So if the Nac Mac Feegle believe the Discworld is their afterlife, then quite possibly, it is!
 * That would certainly explain why Death didn't appear in The Wee Free Men: the only people who die in that book except in flashbacks or Fairyland (which is not his jurisdiction) are pictsies. And he only collects souls that are on their way to the afterlife, not the ones going the other way.

The "Last World" believed in by the Nac Mac Feegle is actually The Legend of Zelda Ocarina of Time-era Hyrule.
And the Feegles themselves reincarnate there as Gerudos. Both peoples have red hair, unusually colored skin relative to the rest of the world, and are renowned for their warrior and thief abilities. More tellingly, both peoples are a One-Gender Race, with the exception of one individual per generation who automatically becomes the ruler of the group. Obviously, the Feegles shrink and undergo a sex-change in the afterlife.
 * By extension, when the people of Hyrule die, they reincarnate onto the Disk.
 * Gorons become trolls
 * Kokiri become gnomes
 * Dwarves stay exactly the same, but come out of hiding
 * Humans stay human, humans with more hylian blood become more magically potent humans
 * Zora, er, um...
 * Get caught in the current and are carried screaming over the edge of the Disc? Better hope they evolve into Rito real fast...
 * Alternatively, Zora end up on Tethys' world of Bathys.
 * Or they may become the Curious Squid, owners and the actual inhabitants of the usually submerged Leshp (Jingo)
 * Twilight Princess Link was the original werewolf.

Granny Aching's sheepdogs were werewolves
In The Fifth Elephant, Angua mentions that one of her brothers was a yennork, a werewolf that can't change to human form, and so he went and became a sheepdog. It's possible that Thunder, Lightning, or both were really werewolves (and one was possibly Angua's brother) that went to work for a Granny Aching as sheepdogs. It's very strongly implied that they could understand complex English (Morporkian), aside from the Chalk language commands.
 * If that were true, the Chalk must be overrun with werewolves now, as Thunder and Lightning evidently had several litters of puppies.
 * Angua specifically states that Andrei is now a sheepdog in Borogravia. But it's not impossible that Thunder and Lightning were yennorks. Pups of Andrei's, perhaps?