Outside of the (futile) Easter egg hunt (that I refuse to participate in because the ones I see aren't very good clues, IMHO), Murphy now says that all the seasons of AHS are connected.
Of course there have been fan theories like the Dante's Levels of Hell Theory. And what ever the Vulture's Theory is supposed to be other than potential connections. I also read something that speculated that Dot has Bette surgically removed and goes on to assume the identity of Lana Winters which, just please dear god no. I LIKE Lana's character and if that happened then I'd hate her character.
I'm calling it.
Aliens are the connection. Aliens making clones of people so different characters look alike in each season. Aliens abducting people. Aliens impregnating and/or genetically manipulating people (Pepper, Kit's kids) which gives them powers (witch-like powers).
Or aliens abducting people and keeping them in some sort of virtual reality (like the Matrix) to live out various scenarios while the aliens study them.
I'll give Murphy a 3 gold stars if he gets Giorgio Tsoukalos to guest star in an episode.
*I hate aliens, not in an aliens scare me way but in an I don't find them scary at all way.