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As for why the Crawling Chaos fights the Dusk Dude? It was another test to see if he was indeed worthy of his power. Also, they could have done it so as to wear him down before granting him their power as... well... he could potentially resist it if he's mentally strong enough, and he likely is if you take into consideration the literal horrors he had conquered up until then.
That also leads to the Infernal Machine; clearly Nyarlathotep has told the cultists and the military that grinding up living humans and offering the resulting disgusting slop at concrete altars will grant his amazing powers (this was written in blood at the end of Blood and Bone), but is that actually true? As I see it, this is more about what actively murdering and liquefying fellow humans did to the minds of the cultists if anything. Nyarlathotep could have granted his powers whenever the heck he wanted without having the military and cultists set up this nightmarish processing line, but that doesn't do him any good; he wants to see humans go mad and suffer, not conquer the world. Hell, the world doesn't even matter to him.
It's also what the Escher Labs were built for; to pique the interest of humans and turn them mad as their world is (in this case, literally) turned upside down. As far as I can tell, there's no such thing as worlds colliding, or a different dimension where all these horrors came from. That's all just a warped mess in our world, where it's not entirely clear whether it's the science developed in those laboratories or Nyarlathotep's supernatural trickery, both, or that they're the same thing in the first place (the fact that you encounter both medieval/religious looking portals and sci-fi portals that do exactly the same would suggest the latter, and all of the "science" in the labs probably makes no sense, as it's all just powered by Nyarlathotep)
It's probably also the reason he actually fights you in a mock fight with a health bar and everything; it's to spark a moment of hope that you might actually be able to win, that a human can beat such a horrible god and that there's a real chance of being saved. But there isn't; Nyarlathotep was always fully in control and never even the slightest bit threatened. After all the damage you did he probably realized there was nothing left for you to kill and was just like "Oh cool, I gotta have that dude! I'll keep him around until the next sap comes along to see what happens then"
A lot of this is speculation though; I'm not 100% the devs themselves even have all the answers and may have just been guided by the Rule of Cool for some bits.
E1:
1.) As others have said, Dusk Dude is a treasure hunter. He was investigating rumors thereof and was captured by Jakob's cult, pending death.
2.) The game implies that the military found out about the ruins beneath Dusk and began excavating them to research them some time before the game and before Jakob's cult. The knowledge they found within seems to have corrupted their minds, and they began to build facilities to make abominable use of the knowledge they found. The small city/town of Dusk was quarantined at some point by the military, probably to contain the rapidly-spreading madness and possession of government personnel on the project.
E2:
1.) The Escher Labs seem to be one of the primary research facilities where knowledge recovered from the ruins was tested and implemented. One of those gravity-warpers is found here (a rather large one), and there are wendigos in test tanks, Mama, and obvious tinkering with teleportation, time dilation, etc. It's not clear why the 'creations' were made. Maybe for military purposes. Reality being warped around Mama's containment tank just seems to be part of the general degradation of the labs' reality as the researchers' madness got out of hand.
2.) Human sacrifice combined with Nyarlathotep's eldritch energy is used to power other infernal technology being developed in the Escher Labs and other military facilities, like the gate into The Nameless City. It's probably necessary for creating monsters like the Creations and the Guardian.
3.) The Erebus Reactor would seem to be a power plant based on knowledge retrieved from the ruins. It would seem to be melting down, since the reactor itself is smoking and there's a big hole in the roof of the power plant. I'm guessing the government researchers then built a containment building over this, Chernobyl-style (you open the roof at the end of this level).
4.) This one is a bit unclear to me too. My guess is that as the government's research got out of hand, Dusk fell into war between the possessed/maddened elements of the military and research team and those who realized that this ♥♥♥♥ had to stop NOW. I figure Nyarlathotep invited Jakob's cult in to take control at this point, which is why we see some remnant of the military trying to maintain a cordon around Dusk, but other elements of the military working alongside the cultists.
E3:
1.) We don't know. He fights like Dusk Dude, perhaps he was a treasure hunter as well, and found out secrets about the military research in Dusk that led him to embrace him in worship. Perhaps future content will reveal the answer, but I doubt it.
2.) Nyarlathotep wanted to test Dusk Dude to see if he really was worth making his new chief pawn.
1. Why was DuskDude in the city of Dusk in the first place? What was he doing there?
He lived in the town with his family.. He was out of town when Jakob and the cult took over and burned anyone who didn't join them. This is alluded to in E3M7. See also: MANDY and Castlevania S1.
2. We encounter the military at one point, and judging by all the walls, fences, and the base outside the city, they've known that some serious stuff has been happening to the city for quite a while. But how did they learn about what's going on, and does the outside world even know about this, you know, an incursion by supernatural, otherworldly forces?
The military tried to shut it down once they realized that they'd uncovered, but the cult, being imbued with the Elder God energy (green stuff) created from THE INFERNAL MACHINE was too much for them. They failed.
EPISODE 2
3. What are the Escher labs? Why did they make gigantic fire-breathing horses? And why is half of it warped and twisted, gravity's messed up and everything? And what happened that lead to the part where reality begins to falter and you enter the void with floating bits of floor where you fight Mama?
♥♥♥♥ gets weird, bro idk it seemed like a cool level.
4. What the heck is the Infernal Machine all about? Why are they making human sacrifices on a mass scale?
To create a portal to the Nameless City and harness the power of the Elder Gods, DUH.
5. What is the Erebus reactor?
Big Factory ting
6. In "The Dig", Jakob says "He drove them out and invited us in." I assume "he" is Nyarlathotep, but who/what did he drive out?
Anyone who tried and failed before the cult. Namely the people of the town and military who were UNWORTHY. I ripped that line from a Lovecraft story I forget which
EPISODE 3
1. So who even was Jakob, just the original champion of Nyarlathotep? How'd he become champion? What's his story?
He's the leader of the DUSK cult. Basically he's Olivia from DOOM 2016.
2. Why did Nyarlathotep bother fighting us if he could have frozen us at anytime and imbued us with his power and turned us into the next champion?
ONE FINAL TEST TO PROVE THAT YOU ARE WORTHY.
Hope that helps
EPISODE 1
1. Why was DuskDude in the city of Dusk in the first place? What was he doing there?
Some of the pictures on the walls of at least one house in the topsy-turvy gravity-messed bit toward the end of episode 3 seem to feature a man and what look like family members, faces blurred, stating "It hurts to remember" if you interact with them. This seems to indicate Dusk Dude had a home and a family in the area of the town/region of Dusk, but lost them in some permanent and scarring way when he was taken by the cult. As if the meathook thing wasn't enough reason to go on a vengeful rampage...
2. We encounter the military at one point, and judging by all the walls, fences, and the base outside the city, they've known that some serious stuff has been happening to the city for quite a while. But how did they learn about what's going on, and does the outside world even know about this, you know, an incursion by supernatural, otherworldly forces?
My guess would have been that the military were doing what they usually do - grabbing at any chance of a leg up on the competition, any source of power they can use to win their fights or just ramp up international intimidation. Then, as others have stated, they evidently lost control of the situation... rather disastrously.
EPISODE 2
3. What are the Escher labs? Why did they make gigantic fire-breathing horses? And why is half of it warped and twisted, gravity's messed up and everything? And what happened that lead to the part where reality begins to falter and you enter the void with floating bits of floor where you fight Mama?
I'd say the labs are where reality-bending research took place; the monstrous experiments, one of the many weapons created for the military and/or the cult to use against their enemies. Lots of mad scientists 'inspired' by an Elder God of unfathomable power probably accomplished all we encounter there, and perhaps much of what we see elsewhere as well.
4. What the heck is the Infernal Machine all about? Why are they making human sacrifices on a mass scale?
Based on the writing on the walls from the end bits of Blood and Bones along with other clues, I'd say Nyarlathotep whispered in some general's ear, "I'm going to give unfathomable power to whoever grinds up the most people into goo for me... shall I go tell the (insert scary rival nation here)?" and the general was like, "How high do you want your people-goo pile?"
5. What is the Erebus reactor?
Another reckless experiment in harnessing dangerous energies, I'd say. Seems to be breaking down by the time you reach it.
6. In "The Dig", Jakob says "He drove them out and invited us in." I assume "he" is Nyarlathotep, but who/what did he drive out?
My guess would have been that Nyarlathotep drove out god, the devil, and/or any other "gods of earth" to make room in the divine space for himself and his chosen flock.
EPISODE 3
1. So who even was Jakob, just the original champion of Nyarlathotep? How'd he become champion? What's his story?
Leader of the cult, chosen of Nyarlathotep, a man who gave up his humanity in the quest for power and forbidden knowledge. He saw himself as above you and just about everyone else other than his master, but in the end came up short and was finished off by his own disillusioned flock of the 'faithful'.
2. Why did Nyarlathotep bother fighting us if he could have frozen us at anytime and imbued us with his power and turned us into the next champion?
I'm going to say... for fun. The Other Gods are pretty unknowable, but they have to amuse themselves somehow, lest they be unknowably bored for eons on end... that's where humans come in, I suppose.
Those are my perspectives, anyway.^^
Excellent answer. You mentioned that you interpreted E3M7 as the cult taking Dusk Dude and killing his family, indicating he was present when they died. That contradicts Oshry's previous answer, but from what I remember of the level (haven't played in a year), it makes more sense that he was there instead of out of town.
Duskdude = treasure hunter
Therefore Duskdude hunts cult.