This got a good reception in the "Have you ever guessed right" theory thread, so I thought I'd put it on the general board for comment after cleaning it up a bit. Feel free to tear it apart at will, but I think it's solid.
Harry has his first conversation with his "Unconscious" mind in Fool Moon. The figure is described:
Myself. Only better groomed, dressed in a mantled duster of black leather, not the sturdy, if style-less canvas that I wore. My double's pants and boots and shirt were all black as well, and they fit him as though tailor-made, rather then off-the-rack. His eyes were set deep, overshadowed by severe brows, and glittered with dark intelligence. His hair was neatly cut, and the short beard he wore emphasized the long lines of his face, the high cheekbones, the straight slash of his mouth, and the angular strength of his jaw. He stood as tall as I, as long limbed as I, but carried with him infinitely more confidence, raw knowledge, and strength.
Now when I first read the book, this description passed me by without notice. However, after a few rereads, something popped out at me. Harry, at this point, is wearing his original canvas duster. His "unconscious" mind is dressed in the iconic black leather duster he receives in this very book, only hours later in the narrative, but at this point he has yet to receive it from Susan or even know anything about it. To me this is a hint to both the reader and Harry that something is off. If you note during the dialog exchange between the two of them, Harry himself never comes up with the idea that this is his unconscious mind. The mysterious figure suggests that right off the bat.
Try rereading chapter 20 with the idea that Harry is talking to himself from a future vantage point....not his unconscious mind. Here are a few gems that pop out from the dialog:
"So you're saying you're wiser than me? Smarter than me?
"I probably am, in a lot of ways," my double said, "but that's not my job, and it's not why I'm here."
"I see. So what are you doing here, then? You're going to tell me how I'm going to meet three spirits of Harry Past, Present, and Future?"
My double slipped in front of me again, apparently without needing to cross the intervening space.
"It isn't that simple, Harry. No matter where you go, there you are."
"Look, I've had a long night."
"I know," my double said "Believe me, I know."
Note that this phrase - "No matter where you go, there you are." was uttered by Uriel at the tail end of Ghost Story, as his little bit of wisdom to Harry. Also note that the whole teleporting trick seems *very* similar to how he moved around in Ghost Story.
My double knelt on the other side of the apparition.
"Nothing, Harry," he said. "What happened at the police station wasn't your fault."
"Like hell it wasn't," I snarled. "If I'd have been faster, gotten there sooner, or if I'd told her the truth from the beginning -"
"But you didn't," my double interjected. "And you had some pretty damned compelling reasons not to. Ease up on yourself man. You can't change the past."
"Easy for you to say," I snarled
"No, it isn't," my double said quietly. "Concentrate on what you will do, not what you should have done."
Once you get rid of the whole 'unconscious' angle the apparition itself suggested, the conversation just seems to scream out to me "time travel irony". The figure talking to the Harry in Full Moon is obviously much more mature, confident, and composed then any Harry we've really met yet. Only the Harry of Cold Days seems to even begin to approach the vast gulf in attitude and maturity between the two figures.
If you reread the further interactions with the mysterious figure in later books, he generally argues against the sensibilities of whatever the current Harry is thinking. Getting him to consider options he considers off the table - for instance using Lash as a resource during the events of Dead Beat.
While I don't have any concrete idea of just what the figure is trying to do exactly, I get the general feeling that he is trying to mess with the past in a very circumspect way. He tweaks Harry's attitude towards certain ideas, and frankly gets him to behave differently then he otherwise would have. This sounds suspiciously similar to how Bob suggests handling time travel during their impromptu (and out of the blue) discussion on the subject in Proven Guilty...right before Little Chicago was mysteriously repaired.