Some of the Missy theories I quite like...
CYBERMEN CONVERSION INTERFACE
Given the heavily publicised involvement of the Cybermen later on, it seems entirely possible that this is something to do with them. We saw in Series 7 that the new Cybermen have extraordinary capabilities of upgrading and adapting to obstacles in their path to overcome them. What if they've gone a step further and tried to make the process of upgrading for their victims genuinely appealing? Missy, the Nethersphere and so on...it's all just an interface to disguise the disturbing conversions going on that are building a Cyber army. Of course this idea leaves some questions... how are the near-dead/dead arriving at the Nethersphere? Is it their souls, or their physical bodies, is there some kind of teleportation involved? More to the point if all of this is a plan engineered by the Cybermen then why did they pick Missy's face as the one to lead it all in particular when the whole point of the Cybermen is to be uniform? With that in mind it seems all the more likely that the Cybermen are simply players in a grander scheme, rather than those behind the scheme itself.
GOD
A bit of an 'out-there' suggestion, but what if they were going for the same sort of angle that The Satan Pit went for in Series 2, where The Beast was truth behind the myths and legends. What if the concept of God and the pearly gates of heaven is whatever Missy and The Nethersphere happens to be? That of course doesn't explain quite who or what they are, but then Moffat has always been a fan of the ambiguous and would probably string us along without further explanation. It'd be a bold story choice for the show, and why it crops up now in particular seems a bit random, and why God would choose to dress as Mary Poppins/Michelle Gomez is a bit peculiar, but all bets are off I guess.
MISSY IS THE DOCTOR
Another long-shot suggestion, although most of them probably are, but what is Missy is an alternate incarnation of the Doctor? It's already been suggested that her Nethersphere vaguely resembles a TARDIS, with that fountain garden in Deep Breath being a brilliant supplement for a console room. Perhaps it's like an alter-ego or second personality that keeps shifting between The Doctor and Missy, where only one of them is aware of this circumstance. For anyone who knows, it's a little bit like the Buffy story arc involving the god Glory/Glorificus and Ben. Of course the biggest question this what is the motive behind all of this? Could it tie into the new regeneration cycle and a potential something else the Timelords sent the Doctors way?
THE NEVERWERE'S
An interesting idea floating about and perhaps my personal favourite harks back to a reference from The End of Time, in which The Doctor speaks ominously of The Could've Been King with his army of Meanwhiles and Neverwere's.
The idea behind this is that Neverwere's are in fact incarnations of Time Lords that could have been, but ultimately never were. They exist within Meanwhiles which are alternate universes based upon the original. They're echoes of reality, basically.
What if Missy was a Neverwere, and her Nethersphere was in fact a Meanwhile that she had engineered to become like heaven in some way? There's still plenty of questions it raises. How has she managed to gain the power she has, how has she managed to force herself into this reality, and most importantly who is she a Meanwhile of? Could she be one of the regenerations of River/Melody that never happened as a result of her sacrificing her regenerations, hence the boyfriend references earlier in the series? On the one hand it's an awesome idea, but on the other I'd love a brand new villain rather than one tied into the continuity of the past.
THE MASTER
Okay, there's enough tension of a certain variety already to suggest that this one is entirely possible. Then there's the whole Missy - Mistress - Master tie-in that seems to fit the bill as well. Perhaps what sells the idea to me most of all though is the notion of an on-screen changed-gender Time Lord. There was the usual talk of a female Doctor being a possibility prior to Capaldi's casting (and to a lesser extent before Smith was announced as well) and although most were happy with the casting, there were those who expressed disappointment despite the majority of people involved being open to a female Time Lord if the right opportunity arose. Perhaps testing out the idea of a changed gender Time Lord would fit The Master so that they can see the response, and so could see how people may perceive a female Doctor in the future. This theory is a bit more logistical and would suggest a behind-the-scenes motive rather than an actual attempt at crafting a good story, but as with any theory all is possible. The Master's return could easily be rattled off as part of the Doctor getting his new regeneration cycle as well, so it'd all fit. And although unexplained, you can assume the events of the Nethersphere and the motives behind them will have some appropriately maniacal reasoning behind them if it were The Master.
THE VALEYARD/FUTURE DOCTOR/THE RANI/THE FNARGLORD
Another idea floating about, though again it leaves the mystery of how Missy came across the power and the influence that she seems to have.