How to get each ending for this game, and what the endings are.
This is a guide for how to get the four different endings in the game, and what they are. The endings themselves will be hidden by spoiler tags, for if you only want to know what to do to get it. I highly suggest you watch all the endings yourself anyway.
Ending #1 - Going to Azuliris
How to Get: End the game with all girls alive. (10+ Lives). Includes Boss Fight.
The girls arrive in the final chamber and confront the Mysterious Lady. Since none of the girls have died, the Lady laments that her plan has been a failure. With no other options, she says she'll have to use "plan B". She steps between the two black rooks and tells them she is no longer their queen, causing them to kill her.
This summons the Black King, who is the final boss, and Olivia is sent to fight him alone. (Amusingly, if you look at the pause screen during this segment it shows all the girls but Olivia as "DEAD" even though they aren't.) Full details for how to defeat the Black King can be found in other guides, but the short version is, don't be within a one-tile radius of him when he lands, and get to the end of the map alive.
With the Black King slain, Olivia returns to the other girls. They pass through the final door and find themselves in a dark realm full of ghosts. Three strangers appear (one of whom is a talking lampshade), telling them that this is the afterlife, and offer to escort the girls out. They drop a whole lot of plot hooks for Erinye, commenting that these tunnels to the afterlife have been appearing with alarming frequency and wondering at the cause. Finally, the shygirls are sent back home, along with a warning to not tell anyone what they saw.
Back in the living world, the girls talk about what they're going to do next. They mention that there is a witch in Azuliris who supposedly has some great treasure, and they decide to go rob her. The end.
You may have noticed, however, that you can stockpile extra lives, even though there are only 10 girls. If you end the game with 11 or more lives, you get a bonus scene at the end.
The mystery shygirls follow the sisters out. They are present for the entire ending but never speak or react to anything until the end. As the sisters leave to go to Azuliris, the mystery girls stay behind... Olivia goes back to speak to them, asking them if they're coming too. They speak "Little red riding hood!" with glowing red eyes, then they vanish.
Olivia, freaking out, runs back to her sisters. The end.
Ending #2 - Sisters
How to Get: End the game with at least half the shygirls alive, but not all. (6-9 Lives). Includes Boss Fight.
The girls arrive in the final chamber and confront the Mysterious Lady. The first part of this ending is mostly identical to Ending 1, except that the girls comment on their dead sister(s), calling out by name who is no longer with them. As before, the Mysterious Lady says plan B and steps between the black rooks to sacrifice herself, and Olivia fights the Black King.
With the Black King slain, Olivia returns to the other girls. She opens the door with her key, but then she steps to the side. She tells the girls to go on ahead, but that she can't follow them as long as there's a chance to get back the missing girls. The others refuse to leave without Olivia, saying that they're sisters and can never abandon one another under any circumstances.
As the scene fades to black, the narrator reveals that the girls never got back to the world of the living. The end.
Ending #3 - Let's Play With the Black King
How to Get: Reach the end with at least 2 girls, but fewer than half alive. (1-5 Lives).
The girls reach the end and confront the Mysterious Lady. Unlike the top two endings, her plan this time is not a failure. She congratulates the girls on their victory, but understandably the shygirls aren't having it. They're enraged at the deaths they've suffered and pledge to make the Lady pay for this. Olivia charges the Lady, but she dodges with ease. She comments that the only thing worse than a sore loser is a sore winner, and sends them back to the living world.
The girls find themselves back in the warehouse they were taken from, questioning what happened and what to do next. Before they have a chance to figure things out, the Mysterious Lady contacts them again. She tells them that her plan to summon the Black King was a success, but apparently he is having trouble adjusting to life in the chess dimension. The Lady brought back the dead shygirls to train the Black King, but he killed them again already, so she wants the rest of the girls back now.
Olivia and her sisters appear in a bloody battlefield, with the Black King hovering overhead. The end.
Ending #4 - Die Alone
How to Get: End the game with only Olivia remaining. (0 Lives).
Olivia arrives at the final chamber to confront the Mysterious Lady. Sad and enraged, she promises to make the Lady pay for this. The Mysterious Lady actually seems to show some sympathy for her, saying that this is clearly the first time Olivia has ever been alone, but that she'll get used to it.
Olivia isn't having any sympathy. She makes a mad attack, but the Lady dodges with ease. Olivia ends up in between the two black rooks, who promptly kill her. The Lady laments that her death was completely unnecessary. The end.