The Carnival of Carnage is representation of the ghettos and the carnage that is within them. ICP takes this into a traveling "carnival" which shares the carnage from the inner cities with the rest of the world. The Carnival of Carnage is the actual Entity of the Dark Carnival.
The Ringmaster is the overseer of the Carnival. He oversees your entire life and decides whether you are worthy to enter Shangri-La or doomed to eternal hell.
The Riddle Box represents the mystery of life and also on the record talks about "living dead" as reference of what life could be like.
The Great Milenko is a Necromancer and Illusionist who tries to trick individuals into greed and other such sins. He takes out the worst in a individual and you must be able to fight his magic in order to make it to Shangri-La. This record was the first in the track "Pass Me By" to give a big hint of the story to come.
The Amazing Jeckel Brothers Jack Jeckel and Jake Jeckel. Jake is the good brother of the two and he tries to juggle the sins of an individual, each sin represented by a flaming ball and for every sin he must juggle another ball while his wicked brother Jack tries to make him slip up. If your sins are too heavy, Jake will drop the flaming balls and you will not go to Shangri-La.
The Wraith is, simply put, the grim reaper. This Joker's Card is represented by two exhibits, Shangri-La and Hell's Pit. It is unveiled that the Carnival is "God" and it's what has been the message the entire time. It also speaks of a Witch (Satan) that brings wickedness to the world hoping to take individuals to Hell's Pit.