Started watching Kanon tonight, and just finished episode 5. I think I have it figured out.
Gonna spoiler tag in case I'm actually right and not just insane.
"Uguu" girl is.dead and most likely a ghost. She sprouts angel wings in the OP. That's kind of a give away, and she mentioned how she's the same age but it still piratically a child. She also has some connection to Asuka-wannabe Makoto. I'm betting sister, because of the similar appearance, the way she gets all uneasy around her and "auuu" is just another "uguu"
The interactions between Makoto and Yuuichi are probably the best part of the show so far. Yuuichi is an admirable asshole.
Sword-girl isthe equivalent to the kid in sixth sense, which is why she seems to know something is up with Makoto.
Blanket-girl is most likelyalso a dead girl. Although it would be strange to have two ghosts running around, but hey, it's an anime after all.
Those are my best theories. Please don't tell me if I'm right or wrong though for the sake of spoilers.
Hahaha, oh boy you're going to love this.