Even though Will was rescued, it seemed the time he spent in the Upside Down forever linked him to his captor. This manifested itself in some terrifying ways in Season 2. Now we know that Will's connection has always been to Vecna (not the Mind Flayer).
These abilities would manifest as a strange sensation on the back of his neck, whenever an Upside Down monster was close. In season 4, it's revealed that Will's connection is to Vecna, who created the Mind Flayer after being banished to the Upside Down by Eleven (Millie Bobby Brown).
In Stranger Things season 2, the Mind Flayer (controlled by Vecna) possessed Will as his physical host in Hawkins, with Will also being able to understand Vecna's thoughts, weaknesses, and locations, a.k.a his “now memories.” In Stranger Things season 2, Vecna used Will as a spy, where he could track the locations of ...
On top of that, Will Byers confirms that Vecna is, in fact, alive. Byers has a deep connection with Upside Down, so he can always sense the existence of Mind Flayer or Vecna. After returning to Hawkins, Will can sense that Vecna is injured and in pain, but the demon from Upside Down isn't dead.
Though Will eventually escaped the Upside Down, his time there has profoundly affected his character and created a link between him and Vecna, the villain controlling of the parallel realm. It's heartbreaking to see how Will's stay in the Upside Down has taken its toll on him and affected him in the real world.
The theory predicts that Vecna wants to regain his human form, and he will use Will to do so in Season 5. Knowing that Vecna singled out Will in Season 1, it's a reasonable theory, but it might go too far. After all, Vecna already has a human form, and he has vowed to eliminate humanity.
Was Will actually taken by Vecna? He was spared from any possessions or abductions in Stranger Things seasons 3 and 4, but the show has confirmed that Will is still connected to the Upside Down's master, Vecna.
Originally appearing in the Greyhawk campaign setting, Vecna was described as a powerful wizard who became a lich. He was eventually destroyed, and his left hand and left eye were the only parts of his body to survive.
He's a kid with a lot of emotions that he never learned how to express with words or say something as vulnerable as "I love you", and thus expresses his feelings with actions instead. The difference between Eleven and Mike is clear.
In the D&D World of Greyhawk campaign, Vecna was almost fully defeated by his trusted lieutenant, Kas the Bloody-Handed. Arming himself with a sword and a spiked shield, Kas betrayed Vecna and attempted to slay him, taking Vecna out of his physical body before the evil lich eventually returned.
At the same time, Nancy, Steve and Robin reach Vecna's body in the Upside Down and throw multiple Molotov cocktails at him before Nancy shoots him, sending his blazing body flying out the window of the Upside Down's Creel House.
It was Eleven who unwittingly freed Creel from Brenner's control, and then banished him into the Upside-Down, where he became Vecna.
Vecna draws power from sad and angry memories and that is the main reason he targets traumatized teens. Those teens are a well of power just there to be absorbed. This is not just a theory, Vecna himself told Eleven about the power that angry and sad memories hold.
Vecna, who absorbs beings' consciousnesses and resultantly feeds off their power, knew he had stumbled upon exactly what he needed to exact his revenge on the world: I saw so many things, then one day I found the most extraordinary thing of all. Something that would change everything.
Vecna was the one who originally kidnapped Will in season 1.
Now that Stranger Things season 4 has confirmed not only Will's queerness, but also his unrequited love for Mike, it's certainly interesting to look at their relationship in retrospect. Surely, Will's feelings for his best friend didn't come out of nowhere.
After defeating the Mind Flayer, the two are reunited, sharing a hug. With Hopper's death, Eleven has to move with the Byers. While packing, Mike excitedly talks about the two getting to see each other. Eleven brings up that she did hear Mike confess his feelings for her, she tells him that she loves him too.
This is a reference to the D&D character Vecna, for whom this Vecna is named; the D&D Vecna has a monstrous hand infused with dark magic. The design of Vecna's hand is also a nod to Freddy Krueger, the Nightmare on Elm Street villain who had a huge influence on this season in general.
Vecna's obsession with time appears to be linked to his hatred of humanity. He views time as a human imposition on the natural world; an attempt to impose order on nature.
While intending to get his revenge on Eleven and Brenner, Vecna also goes after victims who have dealt with traumatizing experiences in the past (reminiscent of his childhood and his time at the Hawkins lab).
Ultimately, it is revealed in Stranger Things season 4's finale that the reason why Vecna was killing Hawkins teenagers was to create a massive gate that merges the Right Side Up with the Upside Down - and he specifically needed four bodies to do so.
After a certain period of time, Vecna will finally kill the victim by placing them into a comatose-like state, in which they will be unable to respond to outside stimuli.
Hawkins has suffered a lot of trauma over the years - not all of which is connected to Hawkins Lab and the Upside Down - and Vecna's curse takes advantage of that. Vecna appears to carefully choose people who feel a strong sense of guilt or shame, particularly if those emotions are repressed.