For me was a combination of diverse characters who live in or next the Forest of Magic (Reimu, Marisa, Alice, Rinnosuke) and their points of view about their lives in Gensokyo.
That's the "Popular" version. The "C64" version, however, has a story about the murder of 8 honest men (actually 7 men and a woman). Circumstantial evidence, symbolism, and implications points to Alice being the killer (including of herself... twice), since the deed was done by the "most cowardly" (Alice is officially stated to be a coward at heart) blonde woman who used to be human but lost her humanity (Alice is stated to have once been human in Perfect Memento), lives in a western house (Alice's house is described as "Western" in Perfect Memento), killed one of the men by nailing him to a tree despite how he was indoors (Alice's article in Bohemian Archive in Red), felt as if the entire thing was a nightmarish dream (Alice is taking Eirin's dream medicine to stave off nightmares in Bohemian Archive), and hanged herself (Alice is described as looking like a doll in Perfect Memento, and her defeat portrait in PCB includes a hanged doll. As well as her spell card, hanged hourai dolls, and "Hourai" is analagous to "paradise", which was Gensokyo in the Dolls in Pseudo Paradise story. IE, Alice, the hourai doll, hanged herself). The murderer in the story also did it all because she (subconsciously, probably, since it felt as if it were a dream) just wanted them to go back to the days when they were thieves (which explains Alice's subconscious attraction, platonic or otherwise, to Marisa, a thief). Alice's last name being based off a murder mystery (Margatroid. Dolls in Pseudo Paradise is a murder mystery) as well as the title of the CD (DOLLS in Pseudo Paradise) kinda give it away, too. The blonde woman on the cover of the CD jacket even wears clothes similar to Alice (but not exactly the same. ....kinda like Maribel's clothes being similar to but not exactly like Yukari's, I suppose).
Finally, at the end of the story, the blonde woman heads to the exit of paradise. IE, she leaves Gensokyo. Alice, when first seen, is in Makai, which is generally not considered a part of Gensokyo.
That's the general gist of it, simplified. It's probably way more complicated than that, though. For example, Mokou was involved somehow, as revealed in her spell card descriptions in Imperishable Night. She was likely the blonde shrine maiden that was spotted... exactly what role she had, I'm not sure. I think she feels guilty about allowing some of the honest men to die to the clown youkai, but at least made sure to keep their corpses safe from the youkai (and possibily even killed the wisest honest man, herself, in order to end his misery)... if that's what actually happened Note that the blonde shrine maiden and the shrine maiden at the end are two different people (also, "the fastest" and "the earliest" honest man is the same person, too. Both translate from the same word in Japanese. ...and the most beautiful died twice for some reason. Maybe there were two most beautifuls. "Pierot" translates as "clown", too, by the way). Alice also seems familiar with Mokou in Imperishable Night, but it's hard to tell for sure. ZUN has officially stated that the latter Shrine Maiden (the one at the end) is "probably Reimu". Reimu doesn't even remember the blonde cowardly homest man woman at first despite apparently seeing her before the story began, which might be a reference to how she never remembers Alice in general for a while.
