The story suggests us several ideas about the soul :
if it cannot leave the cycle it returns to a new body on birth or to a weak body controlled by a weak mind
the soul itself is a mixture of many souls
the soul itself continues over many centuries of cycles and has the feeling of a new life only because it lost all the memories of its past lifes
The explosion, biawac, machine and Thaos seem to have awoken a long forgotten memory that was inside your soul. As death seems to take you, you find life rekindled inside of you - life that has a different purpose and demands answers to a long forgotten question. It is at this point that you have the same vision that you will see at the end of the game - it suggests us that you were murdered after confronting Thaos that day; leaving you restless with no closure.
The same analogy seems to be true for Aloth himself - in his story we find out that he was beaten to darkness by his father only to be saved by either a memory within his soul or another smaller soul that took over to save him. His awakening was traumatic as well, and as we find out his life changed dramatically - the major difference between your 2 awakenings is that yours demands closure to a rekindled memory, while his simply embodies fire of a certain kind - willpower and decision making.
Yours also enables you to become a Watcher - suggesting that indeed you roamed around a long time ago, and many cycles so far - you recognize other souls and their patterns and the more you come to understand the way they work the more this power grows - essentially, this memory becomes a completely new identity - contrary to what others make you believe - that you are here on a limited time, as a memory eventually ends its story.
THE ENDLESS PATH OF BUILDERS
We learn from the endless path that the Builders, the greatest civilization to walk amongst the other races, were highly advanced and developed. Other, lesser races, thought of them as gods and the term Builders tells us that they were Creators of many things. As chaotic events of life would have it, the King's son dies. We learn that there was conflict between them - the son was not intelligent, clever or strong enough to become the future King - a struggle for the father. Their conflict eventually made the son run away and die in doing so. The King then uses all available geniuses and technologies of his people to find the source of life and return his son. He tells us that it doesn't matter if he wasn't able to impress him, all that he wishes is to see him live.
A noble quest began - the search for life itself; the quest of souls. Alas, time became their biggest enemy; something that the King promised they would be victorious against if their mission were to succeed. As their research grew and people joined up, time would grow its seeds as well. Conspiracies, conflicts, whispers. The closer they were the more mad the situation became. It would be at the very end that his people would betray him - knowledge of the soul was gained, but the end was not be achieved at this place anymore. An enemy arose in the last layer beneath them and the King would not recognize the trouble.
His people split, taking the knowledge while abandoning him. He was no longer King, no longer a guidance, no longer a beacon of their people. They realized that the knowledge they found was gained through his will; by his power; by his guidance.
But, how can a mortal preserve these characteristics? When does the mind begin to decline? When does the flesh become a rotten burden? Surely, they could come up with a better solution, now that they knew how to control souls.
THE TRUE GODS
They spent years coming up with systems and projects that would ensure this guidance. Their people were slowly becoming history themselves. The race became not important anymore, the knew they conquered that quest - it was winning the cycle and life itself that seemed to be the only true purpose. The other races were growing stronger - not so much in knowledge, but in numbers and dedication through their false gods, created by imagination and will of the few. They would not be able to survive this onslaught, but perhaps they would be able to guide them, give them sense and meaning and thus continue their own research and work through them?
They finally agreed upon merging their souls into one entity that was able to leave the cycle, the shroud, yet remain above it in seemingly control over it. These entities would become their true gods. They would become gods themselves. Each body represented certain values and philosophies of life and seemed limited in its way and purpose. The pantheon would work in collaboration ensuring guidance and a sensible path for the races. However, one part of the Builders recognized that this division would not lead anywhere - it was a King, one person, that enabled them to grow.
One purpose, One will.
This division could only cause chaos, the very thing they wanted to evade. Thus, Woudica was born - however, she left behind a prophet whose mission was to collect souls for her to grow; to grow to such a degree where she would be able to control all other entities and thus make sure that the people of the world had proper guidance with one true purpose and will. A King that would never die or go mad.
THAOS THE MESSENGER OF THE ONE TRUE GOD
The prophet Thaos had to make sure that these souls were pure in their will - in terms of giving themselves for this purpose. A religion had to be created, an organized faith to delude people and to make them abandon life willingly so that the soul could be easier harvested in its purest form. Another source of such easily harvested and pure souls were newborn cycles - souls that were caught while trying to inhabit newborn babies.
The prophet also had to make sure that the now developing races were never to achieve this same level of understanding of the soul or technology - for the path of the Builders required many thousands of years to accomplish their understanding of life. Many sacrifices... the death of a whole people. He knew that even though their actions looked ambitious, it would take them thousands of years to get to the level he was - something that could backfire and ruin everything he stood for. On the other hand, it could threaten the mission of his own people - a never ending research of life itself from a position of godlike entities who had a ever-lasting memory. A scientists dream.
Essentially, you end this mission and purpose of the Builders, depending on your choices at the very end.
However, the god entities still exist - but it would seem that they themselves will lack guidance and thus the Builders are dead; leaving behind them a set of gods, each operating within their own field and limits. And perhaps that is better so, one wonders? Perhaps the Builders are just one of many layers of god entities which are meant to ultimately guide a certain generation of people unto the real path. But, life seems to play strange games as we see that even these god entities created certain alliances - perhaps, one day, they would find real purpose behind their knowledge - something what Thaos and his goddess wanted to ensure.
HE DIDN'T LIE!
Thaos said - he never lied - the gods existed! And he told the truth. You never asked him who or what created the gods, even though he hints to you that the gods were required to exist in order to have order.
The references we see in Pillars of Eternity can actually be found in real life and probably exist as such in a certain way - certain degree - or perhaps are the absolute truth :
Daoism - The endless path.
Od Nua, The Builders - Anu, god of Annunaki; Bloodline masons are often refered to as the builders - perhaps prophets of such old knowledge themselves
The Cube - Kabba
Pantheon - Paganism
Order out of Chaos, Adra, Soul and its harvesting - Transhumanism, Illumination, Archons
Thaos - Theos in greek for God