The Remedy Connected Universe (RCU) started with Alan Wake and has grown a lot since then. This means a lot of questions have been answered and those answers have given way to even more questions. On top of that the series has a lot of layers so there is always something new to be found.
One of the biggest and oldest questions that hasn't been answered is who/what Thomas Zane is. In the first game the answer seems to be simple: Thomas Zane was a poet that ended up getting involved with the Dark Presence and then went missing. He shows up in the first game as the Bright Presence.
But once you really start delving into Thomas Zane you find yourself in a hole that doesn't end. What once appeared like the truth is drowned in uncertainty. I hope that the question of his identity is never answered as going mad trying to figure him out is so fun.
Now that isn't to say I don't have my own theory I believe in completely after screaming into the void for way too long. Well...believe in it more so I can actually go to sleep at night more than anything else. And that theory is that Alan Wake is the reincarnation of Thomas Zane.