It took me hours of piecing together, but I think I've finally pieced everything together. About what you ask? About everything I say. Some of you will be critical, but others excited to think about this. I for wish to first address the critical. This is a theory. This does not mean it is true, just another way of looking at things. Now the excited ones. This may not be true. Don't get too attached to what I'm about to say, cause if it's wrong, I don't want you to have an emotional break down.
I wish to focus on Wit (or Hoid if that's what you want to call him). Who is he? Where did he come from? What is he? These questions I will answer. I will warn you now that their are spoilers in every Stormlight archive book, plus spoilers in Warbreaker.
Now to start.
Once upon a time in a land far away from the Cosmere, Wit is born. Not really born, but made. he was created by the grand god himself. (Before he split in shards). Wit is not a shard, not a herald, not anything like that. He is just a separate being. Not even a world-hopper. He is almost a god. But not quite. He doesn't like the grand creater, so he comes up with a plan. Wit shatters the grand god. 16 shards shoot around into the nearby planets, which create smaller versions of himself. Each a separate part of him.
Wit, knowing that Odin (the shard in the stormlight archive) is the most powerful, so he goes to Roshar. Wanting to break this part even more so that Odin doesn't create the creater again. Wit lives their searching for a long while.
Now we go to the world of Warbreaker. As you probably know, the God king escapes with his new found wife. This leaves high priests searching for another King. Naturally people want to be the king, so they come up with scams and tricks to try to become the God King. Some smarter ones here rumors of Wit. A world hopper. They believe a world hopper can give them what they need to be God King. They figure out a way to travel to Roshar to look for Wit. We know that some of these people were in fact on Roshar, (See Way of Kings.) And we also know that they were in fact looking for Wit.
Then the worst thing that could have happened. Odin wakes up.
This is where I stop, for now. That's all I'm telling right now. Follow me and you'll here more of my theory.
But the answer to the questions frequently asked, which are in fact asked above have been answered. And remember, Wit is not a shard, not a herald, not a world-hopper, but something else entirely. Remember that, and look for more theory!