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[u]Foreword:[/u]
The biggest question yet lies unanswered; what are the Nine? They have done nothing (so far known) but helped the people of the City, re-arming us with deadly weapons obtained by unknown means, yet draw fear and tribute from the Awoken of the Reef. Their sole agent expresses his own cryptic air, a self-proclaimed slave to the will of the Nine. Here, I will give my verdict on what the Nine are and, more importantly, what they want with us.
(Keep in mind; this is largely conjecture. If you feel I have missed something or have theories of your own, please share them in the comments)
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[u]The Facts:[/u]
The Grimoire description of the Nine is confusing and misleading in many ways. It is, to my reckoning, a list of possible "things" the Nine could be. The list includes things like ancient Leviathans living under Europa, the broken mind of the Darkness after it was stayed by the Traveller, surviving Warminds and God-like Awoken. Curiously, there are NINE options presented and I believe that is significant.
We know that the Nine are able to corrupt Humans, much like the Awoken, with Xur being an example. His comments on his lack of free will suggests he is being controlled by the Nine. This corruption has also rendered him weak to the Light and has begun decaying his body (this strikes me as being similar to the Taken). This links the Nine to the Darkness further and leads me to believe that, during the Collapse, the Nine were likely responsible for the destruction of the First Fleet (the first notable casualty of the Collapse) due to how heavily they are linked to Jupiter.
The Nine seem to desire power, from either the Light or the Dark. After the Reef Wars, the Nine bartered with the Queen for Skolas and opened the Prison of Elders to the Guardians with the express purpose of lowering the chance that the Nine would raid the facility for its powerful captives. What they want with the captives is unknown but seems to be in complete symmetry to how Oryx's Taken work. It should be noted that the Nine are also watching us with the same desire.
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[u]The Theory:[/u]
The Nine, in reference to their Grimoire, are all of the above; they are a collection of beings, originating from both the Light and the Darkness, that desire power. They seek to gain this power by "Taking" beings strengthed by the Light or Dark but what they wish to do with this power is yet unknowable. They captured the Jovian colonies, transforming the Humans living there into "Agents" of the Nine that now act as their emissaries, spying on the other powers in the Solar System.
They seek objects of great power much in the way they lust for beings of power. This would explain their wide collection of Exotic items. They lend these objects, in exchange for Strange Coins (the currency of the Darkness) and Motes (currency of the Light), to other beings to make them powerful.
This all ends, however, with the Nine's ultimate objective. They are providing both Guardians, Awoken and Dark forces their power until they are strong, and then intend to swoop and capture them all. They have played the City and the Reef against each other and fooled the Darkness into support. It is clear to me that the Nine desire ownership over us and are "farming" us by providing their support to the strongest bidder.
After the Golden Age, the Nine sided with the Darkness and took Jupiter.
Then they bartered with the Queen, trading beings for survival and causing the creation of the Prison of Elders.
Now, they provide the Guardians with Exotic power and observe them in battle, waiting for their time to strike.
The Nine are playing allies with the Light, Dark and all between, and when the Light is at its strongest, they will return to snuff it out and steal its strength.
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The Nine are the Ennead...