The observer

The Observer is the man you see in an armchair in the background when you open the Archives, and it's meant to be his voice narrating the lore fragments you unlock by completing challenges. He uses a magical device called the Auris (that eye-shaped thing) which makes him invisible to the Entity and allows him to view, and in some cases, physically manifest, the memories of all those who've entered the Entity's realm. Basically, when someone is taken by the Entity, all their memories of their previous life are absorbed by the Entity's Fog, and the Auris is able to access them by infiltrating the Fog. We don't know exactly how long he's been in the Entity's realm, or how he got there, but he has apparently made an extensive study of the Entity and her realm in that time, as detailed in certain sections of the Tome I lore (https://deadbydaylight.gamepedia.com/Tome_I_-_Awakening). He lives in a tower somewhere in the Entity's realm, with a library filled with books, or "tomes", manifested through the Auris and detailing the memories and stories he's gathered from probing the Fog.

Vigo is another unplayable character who made (or continues to make) an extensive study of the Entity, her realm and how it all operates. He also possesses the ability to manifest physical objects from the Fog, and it is believed that he was the one who created the Hatch. We don't know exactly how long he has been around either, except that it's been "years". He has a laboratory somewhere in the Entity's realm, where he is known to have studied the Entity, the Blight and the Putrid Serum, among other things. (https://deadbydaylight.gamepedia.com/The_Hallowed_Blight) It is speculated that he and the Alchemist from the Blight events could be the same person. Vigo is referenced in the Survivor offerings Vigo's Jar of Salty Lips and Vigo's Shroud, and excerpts from his journal are used as flavour text on some of the items in the game.

As for the gender of the Entity, I'm not entirely sure where that comes from. I've seen it referenced in many places but never officially confirmed. I assume it's something that the community inferred from a comment made by a developer at some stage.