I realize the currently accepted theory is that the Sovereign is Kelsier returned to the physical realm in a new body, and that Brandon has said some things that all but confirm this. (Like something about Kelsier nailing his soul to the new body with the spike through the eye.) I think people assume that Kelsier experimented with hemalurgy with Spook and was able to eventually come back with full feruchemical and allomantic powers (which he would have needed to make the Bands of Mourning, right?). Or that he came back with his own bones, spiked into a Kandra body (so he could still look like himself).
However a number of things just don't add up for me:
How could Kelsier and Spook come up with these earth shattering technological breakthroughs so quickly? (It was only a few short years after the Catacendra.) Hemilurgy is so notoriously difficult that the Lord Ruler himself only made rudimentary breakthroughs during his 1000 years of rule, and that was mostly due to promptings from Ruin. (And it's unlikely Kelsier picked up this knowledge during his short tenure as Preservation.) And then creating the Bands of Mourning? Technology that the Southerners couldn't even come close to duplicating in 300 years?
How did Kelsier know that the Southerners needed help, or that they even existed in the first place? Even Harmony seems to have overlooked them to some extent. And again, how did he develop a technological solution to their specific problem so quickly?
Why would Kelsier create and then abandon the BoM, an object that could, in the wrong hands, enable a new Lord Ruler?
Why would Kelsier create that particular coin coppermind? And how did Hoid end up in possession of it? Those two aren't exactly on the best of terms.
My own theory is that Hoid was the Sovereign. Here are my reasons for thinking this.
Hoid's MO is to show up in the right place in the hour of greatest need with helpful information. That's exactly what the Sovereign did.
Hoid would already have the kind of knowledge that allows him to quickly devise a solution to the Southerners' problem.
Hoid doesn't particularly like being worshiped. So instead of going as himself, he would likely disguise himself as someone else. He already knew what Kelsier looked like, having met him on multiple occasions, and Kelsier had already established himself as an object of worship, so it seems an obvious choice.
Hoid would already have full allomantic abilities (from the bead of Lerasium he took) and he could have gained feruchemical abilities from spikes stored in the Lord Ruler's palace. That would only take 16 spikes (as opposed to the 32 that Kelsier would need in a new body). And Hoid would be able to use the spikes one at a time without killing himself, to avoid detection by Harmony.
Hoid would have a legitimate reason to create the BoM and then leave it unattended. He doesn't want to stay on Scadrial forever, and you apparently can't leave when you're heavily invested. He probably needed a way to leave his power there, but with the option of taking it up again when he returned.
The book notes that seeing the long and narrow stone bunker-like buildings inhabited by the Southerners sparked a fleeting memory from "long ago" in the mind of the Sovereign. This doesn't seem to be a reference to Kelsier. "Long ago" for Kelsier would be Luthadel, and I can't think of anything in Luthadel with that architecture. It seems more likely that the bunkers reminded Hoid of something he'd seen off-world. (Like a Rosharan stormshelter)
Finally, if Hoid wasn't the Sovereign, what was he doing on Scadrial? He obviously had some purpose there, and I doubt just gave up and went home after failing to talk to Vin.