Serious spoilers ahead in this topic for all the episodes that have aired to this date. And probably later episodes as well.
This is a theory thread for the main thing possessing Vanessa.
From most discussions about this show I've had with other people, the consensus seems to be that her mostly invisible friend, (whom I'm just going to nickname Mr. Nightingale for lack of another name) is Satan or perhaps a demon of some kind. I've had an idea about him spinning around in my head since S1E5 "Closer Than Sisters". What if he isn't the Devil at all, but Death itself?
Why do I think that?
Well, this will probably be shot to heck and back when the final three episodes of the season air, but I still want to put it out there just for fun. Reasons/utterly baseless speculation as to why Vanessa's pal might be the Big D:
Vampires fear him, and by extension, Vanessa. What would a nigh immortal (or at least long-lived) creature fear? Probably Death. That Keats's poem, "Ode to a Nightingale", offered a possible clue: "[...] Darkling I listen; and, for many a time/I have been half in love with easeful Death,/Call’d him soft names in many a mused rhyme,/To take into the air my quiet breath; [...]" Oh Vanessa, you and your taxidermy skills have snagged you a terrific beau, you morbid poppet, by naming all those dead things. Just before their "bedroom scene" V calls him many names, but he never exactly confirms that he is the Devil, and the suggestion does seem to amuse him (and maybe just offend him a little). The seance had a line that the possessed Vanessa spoke, explicitly dismissing the suggestion that her body buddy was Amunet. If I remember correctly, it/he said, "No, not Amunet, girl. Much older." As far as religions go, Christianity hasn't been around as long as Ancient Egyptian myths have. The concept of the Devil as a figure of temptation and part-time leaser of human bodies is not found in Judaism either (Satan is more of an adversarial "role" in the Hebrew tradition rather than a force of evil). Death, however, would be older than any religion. Of course, Penny Dreadful's internal "gods" (a.k.a. the writers) could just basically do whatever they want and make their fictional universe run in a different direction, but this is a theory thread, so ... throwing out whatever "evidence" I can twist is A-OK. ;) His very presence can kill people (Mrs. Ives). He can also either call on the dead (Peter Murray) or give Vanessa the ability to call on the dead. Vanessa also foretold that Peter was going to die. In the scene where she was talking to the asylum doctor, she (or Nightingale) mention watching sailors die. Dead people seem to be a running theme with Vanessa and her BFF. Granted, this could just as easily be demonic powers, but let me dream. "You have to name a thing to make it live." Notably, if Mr. Nightingale isn't Satan, then Vanessa hasn't technically "named" him, so in a way, it's almost as if he doesn't live. But what sort of entity would exist without living? Death.
So, that about wraps up the reasons for my theory. Does anyone else have a different idea? I'd love to see what other people think about Mr. Nightingale.