Kingdom Hearts lore resources

--THE REPORTS--
In many of the Kingdom Hearts titles, you'll collect Reports which reveal backstory and hidden information. These are very important resources.
ANSEM REPORTS are the collected works of "Ansem," Seeker of Darkness, and his former mentor Ansem the Wise. They cover mostly matters concerning the nature of hearts and worlds, and give light to certain events and characters.
http://www.khwiki.com/Ansem_Reports

SECRET REPORTS are special Reports written by the various members of Organization XIII during the course of Roxas' stay with them.
http://www.khwiki.com/Secret_Reports
The KINGDOM HEARTS III SECRET REPORTS are Reports written by various characters on various topics including Subject X, Xehanort's past, Replicas, and Luxu's musings on past and present events.
https://www.khwiki.com/Secret_Reports#Kingdom_Hearts_III

XEHANORT REPORTS are the writings of Master Xehanort himself, which cover Xehanort's upbringing, his fascination with the balance between Light and Darkness, Keyblades and Keyblade wielders, the Keyblade War, the χ-blade and Kingdom Hearts itself.
http://www.khwiki.com/Xehanort_Report

THE DREAM DROP DISTANCE REPORT is the entire journal section of DDD. The focus here is the Glossary and Chronicle. There are few, if any, new revelations here, but the entries are written plainly and concisely to easily define certain ideas.
http://www.gamefaqs.com/3ds/997779-kingdom-hearts-3d-dream-drop-distance/faqs/64967

Unfortunately, not everything can be found in-game.

--INTERVIEWS--
If you don't know, every Kingdom Hearts title has had an "Ultimania" companion book with staff interviews. A common interview is discussing the scenario with Tetsuya Nomura. Here he answers our burning questions from the game.

KINGDOM HEARTS:
Part 1 http://kh-ultimania.livejournal.com/3508.html
Part 2 http://kh-ultimania.livejournal.com/3971.html
NOTE: Outside of the interview (hence, not translated above), there's a blurb which explains the mysterious voice in Sora's Dive to the Heart. It's King Mickey. Source: http://i.imgur.com/9LZfjsk.jpg
"NOTES
1) 謎の声
ここでソラに呼びかけているのは王様だ。"
"The mysterious voice. Calling out to Sora here is the King."

CHAIN OF MEMORIES does have an Ultimania interview, however there is no "Scenario Mysteries" segment like the other games. Much of the main interview involved questions about or related to KHII, and almost nothing new about CoM's scenario is revealed in this interview. For that reason, it is not included in this Paste. However, it shouldn't be hard to find if you care to read.

KINGDOM HEARTS II:
http://www.khinsider.com/news/Kingdom-Hearts-II-Scenario-Mysteries-2554
http://www.khinsider.com/news/Kingdom-Hearts-II-Final-Mix-Scenario-Mysteries-2555

DIRECTOR'S SECRET REPORT XIII is a thirteen-part interview with Nomura featured in Another Report, a book which came with the Limited Edition of Kingdom Hearts II Final Mix+
http://www.khwiki.com/Director%27s_Secret_Report_XIII

358/2 DAYS:
http://www.khinsider.com/news/358-2-Days-Scenario-Interview-894
Timeline comparing CoM to Days:
https://web.archive.org/web/20200213031851/http://www.khinsider.com/358-2-days/interviews/kingdom-hearts-358-2-days-ultimania---timeline

BIRTH BY SLEEP:
http://www.khinsider.com/news/Birth-by-Sleep-Plot-Mysteries-Interview-1364
http://www.khinsider.com/news/BBS-Ultimania-20-Mysteries-Solved-2546

RE:CODED:
http://www.khinsider.com/news/Re-coded-Ultimania-Scenario-Mysteries-Interview-Translated-1796

DREAM DROP DISTANCE:
http://www.khinsider.com/news/KH3D-Ultimania-Interviews-Translated-2602#Scenario Mysteries
http://www.khinsider.com/news/Mysteries-of-Kingdom-Hearts-2904

KINGDOM HEARTS III:
https://www.khinsider.com/news/Kingdom-Hearts-3-Ultimania-Scenario-Mysteries-Interview-Translated-14746

--MAGAZINE INTERVIEWS--
Yes, on occasion, Nomura will give some insights into the world and story when interviewed for magazines. These are ordered chronologically, labeled with games and topics relevant.
http://www.khinsider.com/news/Famitsu-2006-Nomura-Interview-2569 [KHII] (Antiform, Kairi's memories, black coats, Organization's Heartless)
http://www.khinsider.com/news/New-Famitsu-Interview-with-Tetsuya-Nomura-908 [Days] (Pending cross-reference)
http://www.khinsider.com/news/Famitsu-Interview-Fully-Translated-1795 [Re:coded] (Why Naminé puts her message into the journal)
https://www.khinsider.com/news/Famitsu-showcases-Kingdom-Hearts-HD-2-8-Nomura-interview-released-8108 [χ series] (How the Master makes Keyblades)

--CONCERT READINGS--
During the First Breath concerts in Japan, series voice actors performed three small scenes especially for the concert. The first is a conversation between Naminé and Terra, which is preserved and translated in the Orchestra World Tour program. I've transcribed it in the following Paste:
https://pastebin.com/9JTmW3df
According to attendees, Nomura states this dialogue happens prior to 0.2.

The second performance, a letter written by Kairi to Sora during her training with Lea, was included in KHIII.
The third performance is a soliloquy by Xion, expressing her feelings and gratitude to Axel and Roxas.

It's a lot to read through, and there are certainly still other mysteries in the Kingdom Hearts world, but with your expanded knowledge of the events that have occurred thus far, you can begin to piece together a decent guess about the things we don't know--or maybe even predict the true answer!