Well, I just made this on the spot, so bear with me! Also, Vocaloid obviously does not belong to me, the songs do not belong to me either. Vocaloid and the songs belong to their respective creators.
UPDATE: 02/28/13
The story of Bad End Night begins with the villager, Miku, lost in the woods carrying a letter in her hand. She arrives at a rundown house to see our good friend, Gakupo, who is the butler. Len and Rin, the doll children, greet her while the maid, Gumi, arrives with tea. Kaito, the master, says that this meeting is a fate. Luka, a lady residing at the mansion, suggests that they should all party for this event. Then, Meiko, the mistress, starts the party. The whole group proceeds to party and get drunk. But, Miku witnesses something off. She went to sleep, but morning never came. The doll children tell her a secret: "Look at the clock hands." The villager gets scared and runs off through a secret door, only to see a pile of coffins. Everybody begins to tell the villager that she is the main actor in this story, and that the true ending has yet to come. The ending is based on Miku's actions. This gets Miku thinking. She decides to use the clock hand, thinking that if everybody dies then it will end. It being the play, but I'll get to that later. She then kills everybody, including herself, but that is just implied. At the end, a hooded figure takes the letter that Miku dropped while on her killing spree. She says, "A good show you put on tonight…." And with that the song ends.
Crazy night, the supposed sequel of Bad End Night, pretty much recaps Bad End Night but adds a twist. The whole group minus the villager greets her and party, getting drunk like in Bad End Night. Everybody then realizes that time came to a stop. The villager went missing though. Here comes the twist, a page is missing from a "book", most likely the script of the "play". Without the page, the story cannot go on, resulting in an infinite loop with many endings. Everybody thinks about the missing page. They come to realize that the culprit was Miku. The crazed villager then goes to murder everybody. The chorus reveals that though they followed the script, it wasn't the True ending, the ending to escape the horror that they were in.
Twilight nighT, the most recent song in this series, like Crazy night, recaps everything and even reveals how Miku wants to escape in the beginning of this song. The song starts with a recap of Bad End Night, and how the villager proceeds to kill everybody. This first part is shown through a cardboard like puppet sequence, very different from the other two songs. Miku then realizes that every ending so far resulted in a failure even though they followed the script. She then disappears. The occupants of the house try to find her, finding that the ending page to the script has disappeared. Miku has the clock hand, but, instead of killing everybody like in Bad End Night, she decides to walk down to the basement where the coffins are. The occupants of the mansion find a letter on the floor, while Miku found a letter in a coffin. Everybody then puts the page that was in the letter on the floor to the book. During this, Miku runs as fast as she can to warn them that the page she has is the true ending. But, she doesn't reach the book in time, so, the endless cycle of the play continues, with the endings reoccurring over and over.
The connections between these three songs are subtle but important.
The clock hand: Miku uses it to kill everybody in the first and second song, but she realizes that the wrong ending will appear in the third song.
The coffins: When Miku found the page in the coffin, it is referenced that the coffin may have contained another one of the villagers. This may mean that they are in an endless cycle since the True Ending has yet to arrive.
The hooded figure: based on Bad End Night, we can see that the hooded figure may be the "god" that put this play together, but only when they get the true ending will they be able to escape.
The "book": the book is supposed to be the script. In the second song, the occupants found out that the ending was ripped out, meaning that the play cannot be finished. They infer that it was Miku, because she probably did not like the ending. In Twilight nighT though, a letter was on the floor by the book, while a letter was found in a coffin. If the letter was the real ending, we don't know, we just have to wait for the next song(if there's one), but the letter found on the floor by the book contained a fake ending that would just repeat the cycle of bad endings over and over.
The punchlines: in every song, Miku would say "mitsugeta" which means I found it. This was probably when Miku thought she found a way to end the play.
The endings: In the ending of Bad End Night, it is revealed that there is someone behind the scenes that made the play. In the ending of Crazy night, it is revealed that there are endless cycles, seeing how the end looked similar to the beginning of Bad End Night. Finally, in the ending of Twilight nighT, it is revealed that the play will not be finished till the "True Ending" was found.
Though I explained these songs(well, I tried to), the story cannot be finished till the "True Ending" song is made. Till then, quantum physics kick in and a multitude of bad endings are formed, Bad End Night, Crazy night, and Twilight nighT being part of them.
Well, did you enjoy it? Plz review and all that good stuff, if you want me to do stuff like this again, just say so! Also, if you want to flame, just tone it down a bit and make it seem like critiquing. Thx. Well, till next time when I feel like writing again!