I have puzzled together most of the series to be satisfied, but a few things have never clicked for me.
Does Severian get in the crypt in the citadel? It seems to be clear he is there. I trace his timeline, and it's clear he's remade at some points, but when does he end up in the crypt? Even at the end of BOTNS, it is mentioned he thinks he will end up there, but then ends up going to the time after the new sun past the time of the guy in the crypt. I don't see any extraneous Severian that is not accounted for.
What is the significance of Valeria? He meets her very soon in the first book, then suddenly goes off to look for her at the end of the last book as if it were the end of some literary story arc. Is she mentioned any time in between briefly meeting her and when he goes to find her to marry her? He met some other women briefly too, but didn't go back to marry them. Why her?