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The protagonist is already dead. When he "awakens" the first time, he gets to start his journey through the Limbo.
You first move upon deep, flat waters on a small ship which I felt was a reference to the beginning of Dante's voyage in his Divina Commedia; or a reference to Charon, the ferryman bringing dead souls to the underworld.
Each one of the obstacles you met is a reference to a fear: the protagonist is a child, scared by spiders and by the scratching, loud sound of saws, unable to swim and fearful to move through darkness; everything is dangerous, heavy and far away because he's just a small child and, in his mind, lots of things are huge. There's some kind of recurring reference to an hotel - maybe the place where his sister died?
He comes out from the spider's cocoon different; that scene has a strong resemblance to a mummification - it's like he's coming out of a corpse bag. And, in the end, he gets to defeat his scariest foe - the huge spider, now un-armed and reduced to a squishy ball.
Even his humanlike enemies are children: small-sized, awkward and coward. Their weapons are peashooters and traps built into tree houses. They're likely young bullies.
(And I feel is interesting the way the first time the protagonist meets one of them, the whole scene takes an unsettling resemblance to the moment he'll find his sister.)
(And, like, the way he pulls out a leg from the flying ant? Doesn't it seem a small, childish cruelty?)
The first set - the Forest - is realistic: a true place, something coming straight from the boy's memories; the first scenes are also the scariest and the darkest.
Going on and on, backgrounds and settings lose their grasp on reality and take a dreamlike, nightmarish quality. They mix memories and elements of truth and fantasies. Really, a nightmare is the only place where you can easily fly towards a saw.
Coming through the glass at the end - and really, really, really flying through the light for the first time - he ends his own journey and leaves the Limbo. He starts at the end - or ends at the beginning - and finally gets to meet his sister - whom, by the way, I think is dead, like him. (That "HOTEL" sparkling in such an important moment feels like a reference, so, I've this personal feeling she's dead there. It's the only written word in the whole game, after all, if I'm not wrong.)
He sees the young girl where he had seen one of the children, but now he's really able to "see" his sister, there, and to recognize her. Their corpses - or just his own - are rotting under the tree house in the real world - is the Menu scene and the reason why we so often hear mosquitos flying and buzzing around.
In the end, I think she was waiting for him to go on together on their journey. Alone, they were in Limbo - and now they're not anymore.
The purpose of the whole game (not only the end) is to make us to feel so confused and lost as does the child: oniric yet familiar environment; questions with no answers; no conclusive ending...
Any explanation would ruin the experience.
To the author(s): Thank you!
That's just my opinion though. I know most people have completely favorable views for this game.
I get that but only from outside information. As far as the actual game goes it tells you very little:
A girl we've never seen before stands up.
Fade to black.
End.
With something as minimalistic as that you could insert just about anything you wanted to. She could be his sister, his girlfriend, a prophecy, and/or his arch enemy.
I could be completely wrong in this assumption but I have a feeling he didn't know what to make for an ending so he made this scene with the girl and tossed in a very small sentence on the store page to explain her existance without having to go through the effort of actually putting her into other scenes of the game - a quick and easy minimalist ending.
Judging by both Playdead games they give only hints to the story, leaving interpretation to the user.
The arc with the spider was a story that played out very well. The spider kept coming back, you fought it off or escaped. Eventually killing it by breaking all its legs off and rolling it into a spike pit.
There were also stories up for interpritation revolving around all of the other kids that were trying to kill you.
The developer put plenty of small story arcs into the first half of the game quite nicely.
I'm not sure I agree with the last part of your comment - the fact that the author(s) didn't know what to do about the game's ending - but I pretty much agree with everything else.
If they didn't want for us to know anything about the sister, they shouldn't have put on that tagline: players would have remembered, in the end, the scene with the child-like enemy and each other hint to the girl and to the boy's research, and that would have been more than enough on its own.
If they did want for us to know about his sister, insted, they should have inserted the line somewhere inside the game.
I'm of the opinion that games like Limbo should start with the menu and end with the last scene, full stop. :) Outside informations don't belong to the game's world.