Well, let's see, I have quite a few, some of which aren't originally mine but were so good that I adopted them into my own headcanon. One in particular comes from Poliwhirl'sMittens (which I later expanded on myself) and states that Pokemon breeding is not sexual intercourse as we know it, but rather, it involves the two Pokemon pooling their energies together in order to create an egg, which they refuse to do if they are being observed. Additionally, I believe that the pooling process can be influenced by the presence of certain aromas, which is why incenses have an effect on the joining's outcome.
As an overarching theory of my own that pertains to the "energies" involved in the breeding process, I believe that the Pokemon universe is fully permeated by a fundamental, omnipresent, neutral energy that can affect the environment through its mere presence. I believe that this energy can be channeled or converted into matter by Pokemon through concentration or moments of high energy, which explains where the stuff involved in performing attacks and where the extra mass seen during evolution comes from. I also believe that a Pokemon's typing is inherent to the Pokemon, and that this is what determines the kinds of attacks they can use. The attacks that they perform are fueled by the Pokemon in question channeling this energy, through either Physical or Special means, and forming it into an attack that interacts with the opposing Pokemon's inherent typing (which stems from the omnipresent energy; it works as a base for their typing and can be considered akin to the Normal-type in nature), which explains weaknesses and resistances. I also think that when breeding, the Pokemon involved draw from this energy field in order to create their egg.
Now, where did this energy come from? Well, I believe that it came from Arceus. I believe that prior to the creation of the Pokemon universe, everything swirled around in a vortex of chaos. Some of the elements within the chaos eventually came together and formed Arceus' egg, and when he hatched, this neutral energy (which corresponds to the fact that Arceus is a Normal-type but can change his typing when exposed to a bundle of specific elemental energy (Plates); he is the only Pokemon that can do this because he is the first instance of this energy and ergo, possesses the "purest" portion of the energy within himself) was released as a shockwave that organized the chaos into a malleable matter (although some samples of the chaos organized into packets of antimatter and were shunted off into a parallel dimension). This was the birth of the universe, and at that time, the Unown came into being as simple manifestations of this power, which Arceus could focus his will through in order to create things. Using the Unown, he then created Dialga, Palkia and Giratina and gave them the ability to control time, space, and antimatter, respectively. Then he created the Pokemon world, while the dragons retreated into their respective dimensions. Arceus created a supercontinent on this planet, although it later broke apart into separate regions. He then created Uxie, Azelf, and Mesprit and imbued them with the gems in their foreheads which can be brought together in order to manipulate dimensional gates (hence Cyrus' creation of the Red Chain). Later, other powerful Pokemon started coming into being (Groudon, Kyogre, Rayquaza, Heatran, the Original Dragon), and then Mew came into being as well, and over time, gave rise to all of the lower Pokemon. Humans came in at some point as well, and some of them have the power to interact with or manipulate the energy field on their own (explaining aura and psychic powers).
It's important to note that in this theory, Arceus is not a god. He's exactly what I believe him to be; a very powerful Pokemon with the ability to create and shape matter. He is not a transcendent or divine entity of any sort. Also, he did not create every Pokemon (not directly, anyway), nor did Mew spawn all of them. In this theory, both of those ideas are somewhat right, to a degree, in their own ways.
As a side note, I believe that Legendaries breed asexually, by performing the pooling process on their own (because they have the power to not need a mate), but doing so requires that the rest for a long period of time, which is proportional to their relative power and the energy used to create the egg. Hence, Arceus' reproduction could only occur once every ten millennia or so, meaning that they would have a
very low birth rate.
Also, I came up with the theory that Ghetsis' cane is based on the perfected Colress Machine technology, and that not only can it awaken a Pokemon's latent power, but that it can control it as well.
*whew* I think I need some Halloween candy to recover from typing all of that; I didn't even go into as much detail as I could have.