The Last Hero/WMG

WMGs for the Discworld novel The Last Hero.

The unnamed Bard is Imp y Celyn.
He specializes in love songs and ballads, just like an early rocker, and at the end he is heavily implied to invent heavy metal. One of the two glass clocks resulted in him returning to Llamedos and being a bard, but Music With Rocks In already (sort of) existed (Vetinari mentions it in The Truth). So he invents Heavy Metal instead.
 * Except the Bard from The Last Hero is from Borogravia (he worships Nuggan, at least).
 * There were Nugganites outside of Borogravia (I think). And Imp could have found religion instead of a life of Unresolved Sexual Tension, mentions of drugs, and Music with Rocks In when he followed the other path.
 * Except Nuggan himself claims the bard was raised in his faith, and Imp was brought up by druids.
 * So how'd he llose the accent?
 * Or the black curly hair, for that matter?
 * Not to mention, he was last seen working in a chipper in Quirm. (See the end of Soul Music - it's strongly implied to be him, and also the payoff of a brilliant book-long Brick Joke.)

The Lady lost interest in using Rincewind as a playing piece after he volunteered under protest.
Rincewind himself has reasoned that if he ever starts to rely on his fantastic luck to protect him, it'll immediately stop doing so. The Lady is known to depart if anyone has the nerve to say her name. Recent books have seen Rincewind having less cause to complain about things (Demoted to Extra in Unseen Academicals; not forced to confront the giant squid in Science of Discworld III). It's possible that the Lady's interest in Rincewind was actually dependent upon his not volunteering to have adventures, as forcing her pawns to take part in quests though contrived coincidences is inherent in her playing style. If he just sighs resignedly and gets on with it, he's acting more like Fate's pawn than hers, which is missing the point of their games.

The Silver Horde succeeded in ending the old Age of Heroes.
The age of barbarian heroes is well and truly past by the end of The Last Hero, but fret not! Carrot Ironfoundersson represents the beginning of a new Age of Heroes.

Teach is inadvertently responsible for the events of this story.
The night before the big battle in Interesting Times, Teach blows up at the rest of the Horde, telling them that all of their great heroic deeds ultimately amounted to nothing, and that when they die, nobody will care, because the rest of the world honestly believes that they had either died decades before, or had never existed outside of stories in the first place.

The battle is fought, Cohen wins his empire, and Teach is accidentally killed in the unexpected explosion that killed Lord Hong. Life goes on for the rest of the Horde, at least until Caleb the Ripper chokes on a cucumber in his salad. Then they remember Teach's words, and decide that they need to do one last quest that will ensure that everyone remembers that they were real, what they had done, and how they had died...

The events of the story happened because Narrative Causality needed to reconcile two contradictory facts.
Basically, Twoflower is a Grand Vizier, and so bound by the narrative laws of Discworld to become an evil, betraying Grand Vizier that seeks to usurp his monarch. He is also a very nice person by nature, the sort that honestly would never think to actually do that. So, to reconcile that, narrative causality made things happen so that regardless of Twoflower being self-serving or nice, he would betray his monarch: namely, by telling the heads of state of Discworld that Cohen was on his way to do something that would destroy the world. Twoflower acts a bit like an Evil Vizier would, while at the same time still being, well, Twoflower.