Iceberg Theory a major theory concerning the nature of The Fears.
The premise of Iceberg Theory is simple: There is only one of each Fear in every universe. However, the Fears, in their true forms, are so vast and immense that only a small piece can be seen and experienced. A piece protrudes into each universe, just like only the tip of an iceberg protrudes over the water.
For example, there are numerous conflicting reports regarding how The Wooden Girl acts. Some accounts have her appearing as a literal puppet, others have her as a human covered in wooden armor. Some characters have heard her speak, while others claim that she never speaks. Some reports claim that her servants are divided into a rigid structure, other reports claim that she keeps her servants in a chaotic, Darwinian system. However, while these accounts take place in different universes, with the Wooden Girl showing radically different behavior, there is still only one Wooden Girl. The versions of her observed in each reality are merely parts of a greater whole.
It's like if you took four small vitamin cups, filled them with water, and placed them all side by side. Then you put your hand down there so that each finger was in a different cup. Your fingers, while similar, are still different. So while a part of you is in each cup, it's not the same part. Well, imagine the cups are universes, and imagine you are the Wooden Girl. Your fingers are what the denizens of each universe encounter.
In other words, no matter how powerful or vast they seem, the Fears are merely fingers of a greater being.
There's also an offshoot theory known as the Multi-Tipped Iceberg Hypothesis, which goes even further: all the Fears are in fact extensions of the same being.