Elgo (not to be confused with the King of Elgo), is a concept used since the first game. It have its own will, it's able to talk and has a big role in the series. However, it’s not exactly a “character”. It doesn't change the fact that it's one of the most fundamental "elements” in the game.
It’s a collective existence made by the will of the first ancestor, guardians and spirits from the 5 linked worlds. They are a force with unimaginable supernatural powers. It can be considered a god, but strangely enough, it seems that it’s not only one of them, since there are signs of different personalities for each world.
This is the force that is connected with all phenomenon in this universe. To make this possible, there is a invisible and infinity magical energy that is responsible for this connection, this is called Clips (boundary’s multi-chain field).
A old Lyndbaum’s legend says that the first Elgo was the spirit of Lyndbaum and that the other Elgos were born from it, leading to the creation of all other worlds and natural life. That is their explanation for why Lyndbaum is at the center of this system.