Kino's Journey/WMG

Hermes is the first Kino.
Note that Hermes did not speak until after his death. Because Taking the Knife was not enough to save the girl, his soul bound itself to the motorrad to provide further guidance. You didn't really believe Kino-prime's stories of talking motorrads, did you? Hermes is a special case. He seems to have a bit of amnesia though...or he did at first and is covering it up now.

The apparent agedown (the books in particular describe Hermes' voice as being like that of a young boy) is for Shipping purposes, natch.

This is also why, in the Magical Girl themed Spin Off Gakuen Kino, Shizu the talking dog gets to be human, but Hermes is stuck as a talking cell phone charm (Kino doesn't even have a real cell phone) - he can't have anyone recognizing him.

Kino is a Slider jumping from world to world.
Some of the towns and "countries" she visits interact, but there's way too many differences for most of them to be geographically anywhere near each other. She'll visit a medieval village one day and then arrive in a technologically advanced civilization the next, and neither will even realize the other is within motorcycle Motorrad distance.

Kino is in Purgatory and occasionally Hell, but it isn't a punishment; or else, her enlightenment prevents it from being one.
Clearly, many of the places Kino visits are being cosmically and symbolically punished; but Kino remains untouched by it all. She's a Badass Tourist enjoying herself.

No, being born in one of the freakish countries doesn't discount this theory; maybe that's how people arrive. Nevertheless, she has the Zen to appreciate it.

Karma did get her with Sakura's village, but she still had the Zen to learn from it. You can't tell us that wasn't some kind of karmic message.

The First Kino and "Master" from the OVA is a sort of enlightening figure.
This may mean that Kino, after taking the name, is another incarnation of The Buddha, or possibly the Enlightened Man in the Allegory of the Cave.
 * Or, to dovetail the above theory, the first Kino was Jesus administering to the needy in Purgatory. ....No, really.
 * Remember, tropers, no anime is complete without at least one character under suspicion of being Haruhi. Take a sip!
 * Or a Timelord...

The lands Kino travels are a fantasy separate from her 'own' reality.
We already have the suggestion from the Land of Books episode that what we are seeing is not real, but a sort of fantasy. The countries she visits are clearly not realistic, but feel like they were invented entirely for a story; no effort is ever made to disguise or explain this. Examples: the Sad Country, the Three Men on the Railroad, and the robots with fully articulated hands which somehow need to rely on wax cylinder recordings for voices. All make wonderful stories; none have a sense of reality to them.

Kino is travelling through her own mind.
Several of the towns she visits could be seen as representing parts of the mind. The land of Visible Pain (Ep 1) is empathy and is in the state it's in because Kino is not very empathetic. The sad country is self explanatory, the land of prophecies is prediction and foresight, the coliseum is violence and conflict, the three traders in the snow is about selfishness, and so forth. Kino is retreating into her mind to escape the pressures society puts upon her to 'grow up,' as suggested in the Land of Adults.

Some of the characters are real people; others are not.
The visual style of the characters varies wildly from characters such as Kino, who look like normal anime characters, to more 'abstract' designs for many incidental characters, such as the priests in the land of Prophecy or the poet in the Sad land. The 'real' characters are people Kino has met in reality; the 'abstracts' are constructs or personifications of her mind (see above), or figments of her imagination or the fantasy world she travels.

This seems to be a sliding scale, rather than distinct categories -- some characters seem more abstract than others. Figuring out exactly which characters are 'abstracts' and why is left as an exercise to the reader or viewer.

The forests between towns are much more dangerous than they appear.
The position of traveler is held, by townsfolk, with a combination of fear and reverence. Travelers are rare; even incredibly social people like those in the Town of Telepathy would rather lock themselves away from others than travel away from their town. Those we see outside of the towns who are not travelers are equipped with high-tech combat equipment, completely insane, or both: see the soldiers trying to prevent the Town on the Hill from fulfilling the prophecy, the slavers, and the woman who visited the Town of Arenas. Even many of the travelers in the Town of Arena have rather questionable psyches.

The forests attack attachments. Those who travel either have those attachments stripped from their mind (including ones like the ideal of avoiding cannibalism and murder) or pull those attachments into themselves and fixate on them (the woman's flowers). Only those without attachments to other people, to ideals, or to goals can survive traveling and retain their sanity (if one can call that sane).

Kino consciously strives for as neutral personality as possible
This is hardly wild guessing, but Kino clearly wants to avoid having any traits that mark her as anything at all besides a traveller. Through her clothes and demeanor, she defies any gender identity; and she refuses to be defined as either a child or an adult. This is most likely something necessary for her to remain the impartial observer that she makes herself.

Kino is the daughter of the evil king from the coliseum arc, and Shizu is her brother.
They never explain what happened to the other child that was deported. Considering that the king's primary worry was the possibility of the throne being taken, sending Kino to the country he did makes perfect sense. She would grow up in a place where, once she became an adult, the only thing she would want to do would be to follow her adoptive parent's footsteps -- and certainly not take his throne.

Shizu was sent to another country to prevent them from teaming up and causing trouble.

In the coliseum episodes, the king did not recognize Kino because of her drastically changed appearance, which also explains his request to marry her. He didn't recognize Shizu without a makeover, so it makes sense that he wouldn't recognize Kino with one.

The show takes place on Marinus.
Adventure Towns. Schizo Tech. Planet of Hats city-states. Need I say more?

Hermes can't talk
Nobody else ever speaks with Hermes away from Kino, her conversations with him are actually just Surrogate Soliloquy with a bit of embellishment in presentation.
 * Actually, Hermes talks to away from Kino. But maybe he wasn't really talking either!

Kino stole her back-story.
Kino's back-story in the Land of Adults is extremely similar to the story of Sakura in the last episode. In fact, the "land where travelers are shunned" could have actually been one of the first towns she visited, and after the incident, carries her story on as a memory of her first experience.