What are souls? Where do they come from? Where do they go?
Origin of Souls
When the Dreaming Flame dreamed this universe into being, he put a fragment of his Self into his creations--into the 8 + 1 Primordials and into their servants. After the Dawn War, when the Nameless rebelled against the Eight, and after the ordering of the planes out of the substance of the Primordials, the fragments of the Dreaming Flame contained in those Primordials shattered and pervaded the respective planes. These sparks of Flame form the core of the souls of all beings. Every living being in all the planes bears one of these sparks within themselves.
Body, Nimbus, and Spark
On the Material plane, living creatures have three intertwining parts: a body, a nimbus of anima, and a spark of Flame. The spark of Flame is the creativity, the intelligence, the personality. Kindled when mortal sparks join (temporarily), it is the truest "self" of a person. Not all sparks are the same--some are brighter, some are dimmer. Some form connections with embodied anima; others are more connected to aetherial anima. All sparks have an individual limit beyond which they cannot accrete and maintain anima--once this limit is reached the creature stagnates and usually dies soon thereafter.
The body is composed of condensed, hardened anima, accreted due to biological processes under the twin aspects of Life and Death. It serves as the interface with the rest of the physical world. Training the body through exercise, diet, and practice strengthens the anima and its connection to the spark. Supernatural things are possible with a sufficiently strong connection between the spark and the body--the heros who wield no magic but stand against mighty foes do so because their spark is tightly bound to their body, denying the intrusion of weapons, claws, or fiery breath.
The nimbus is an aura of aetherial anima that is attracted to and controlled by the spark. It is aspected to Good and Evil (as well as to the elemental planes). This is what the monastic orders call "ki" and most call "anima" or "spirit" (neglecting the fact that everything is composed of anima). A creature's nimbus connects them with other sparks--it is the way that druids make contact with the spirits (sparks) of the beasts and plants and elements, it is the way that clerics make contact with the Great Mechanism that empowers the gods, it is how the arcane spell-casters resonate with the ambient anima to create their effects. On a smaller scale, it is how individuals sense and understand the feelings of other people, how we intuit the answers to questions unknown, the force of will to resist imposition from the nimbusi of others.
If only two of the three components are present in a creature, it has a partial soul. Partial souls differ depending on which of the three are present.
Nimbus + Spark = Spirit
Spirits are formed either from the dead (when the body ceases function and the spark departs with the nimbus) or through natural processes--spirits are connected to natural formations like mountains, rivers, lakes, and even particularly large storms. In addition, creatures of pure element in their natural planes as well as beings of the astral plane (devils and angels, as well as the more basic forms of life there) are beings of spirit. These more complex beings must don bodies to interact with the physical realm.
Body + Nimbus = Mindless Undead
A strong concentration of death-aspected anima (or the interference of a necromancer) can create mindless undead--the remains of a body, held together by a nimbus of anima. Without creativity, without personality, these abominations cannot generate their own anima to maintain their existence. Instead, they must consume anima--either from their creator or from the environment. Uncontrolled mindless undead are a blight on the landscape, killing everything around them. "Natural" undead dissipate once the concentration of anima that created them is consumed. Created undead often persist, draining the life out of the plants and animals (and out of whatever living things they can catch and kill).
Body + Spark = Golem
Completely artificial, golems are created by mages who compel elemental sparks into construct bodies. These are almost always minor sparks, incapable of doing much more than following orders. They tend to be more capable of obeying complex commands than undead are and don't consume external anima to persist, but are much more complicated to create (and thus much rarer).
The Fate of the Dead
The Joining of the Nameless (coincident with the Cataclysm) imposes a condition on all life--that which has a body must die. Sooner or later, the body reaches its limit and decays, releasing the spark (which trails the nimbus behind it). Complex souls (those of animals and thinking beings) fall into Shadow unless held back by magic or incomplete vows. There they construct bodies of shadow-stuff and live lives akin to those of mortals. The strongest souls can either absorb the nimbuses to stave off the final dispersal (becoming the intelligent undead) or can be given an outside source of power--either the faith and belief of mortals or the intervention of a god (in either case making them a demigod or ascended hero). Those who pledged themselves to demonic forces for power are commonly consumed by those forces; their sparks extinguished to feed the abyssal powers. Some particularly strong souls find foothold in the Abyss and in turn feed on the denizens there or on mortal souls to sustain themselves.
Unless they find another source of power, the shadow-body and nimbus fade, battered by the winds of shadow and consumed to maintain existence. Once that happens, the spark itself vanishes. Where does it go? Is it reborn again? No one knows. Theories abound, however. For more details, see Theories on the Afterlife and the Eternal Fate of the Soul.