This is split into three main categories with subcategories:
Outside the world
William Carter puzzles:
The William Carter puzzles were a series of puzzles that shed some light on who Maxwell really is, and how he got here.
Forbidden Knowledge:
Voxola:
"The radio is a Voxola PR-76, manufactured in 1919 by the Voxola Radio company of Sidney, Ohio. The radio offered revolutionary sound and reception quality for the time, and was promoted by an intense national marketing campaign. Very few units were actually produced, because the factory was destroyed in a fire only days after production began. Voxola founder Robert Wagstaff went missing the night of the fire, and the company declared bankruptcy soon thereafter."
Leaked:
Charlie's older sister, Winona, worked at Voxola.
In DS world
Ancients:
Metheus Puzzle
http://metheus.dontstarvetogether.com
Will edit in some useful links.
Atrium/Fuelweaver:
The Fuelweaver says the name "Metheus" sometimes, as well as "This world... threadbare. My city... in tatters." etc.
It seems there may be multiple worlds.
Maxwell's Reign:
Maxwell brought in the characters to the world, somehow. Wilson was through a Voxola with Forbidden Knowledge. In his lust for knowledge, he was tricked into sending himself there.
Cyclum:
http://cyclum.dontstarvetogether.com
Will edit in some useful links.
The Grue/Night Monster:
Charlie attacks you at night in the darkness in SW, DS and DST.
She was turned into a Shadow Monster
Charlie's Reign:
A New Reign cinematic
From the end of Cyclum
What Lies Beyond cinematic
From the end of Metheus
In SW world
No confirmed lore yet!
Sources:
[will edit in from replies]
Other neat threads:
William Carter's story so far(PUZZLE findings and lore compilation) - Thanks to [will edit in]
Official Don't Starve timeline:
1890s - 1906: William Carter origin story
1906: William and Charlie enter the DS world.
1906 - 1910ish: Some crazy stuff happens that we haven't told you about yet....
1910ish - 1921: The various playable characters get pulled into the DS world.
1921: Wilson gets pulled in (Forbidden Knowlege trailer).
*THE ORIGINAL GAME + ROG STARTS HERE*
?: Wilson lives in DSworld for a while. Dies a lot, eventually finds Maxwell's door and confronts Maxwell
?: Wilson replaces Maxwell on the Nightmare Throne, Maxwell becomes Waxwell.
?: Some other crazy stuff happens that we haven't told you about yet.... (This is Cyclum!)
?: The DST plotline begins. (ANR + WLB cinematics)