In the terms of the Gregory Horror Show, the Guest is the label given to the main protagonist. Whether male or female, the Guest is the wandering (always human) soul that checks into the hotel and has to endure the terrors of the other residents therein. Their ultimate goal is always to escape from Gregory's purgatory world and return to reality. Most of the time, however, they ultimately fail, and even if they return to reality, they often come back quickly.
In the anime, the Guest is unseen. Most of the action is shown from the Guest's point of view. Even when the camera is in third person, the Guest is invisible but present.
In Soul Collector, the player takes on the role of the Guest; see "Boy and Girl Guest" below for details. Also, the term "guest" is used to refer to a resident of Gregory House besides apparently Gregory himself, but this seems mostly exclusive to the game.
The First Guest Edit
The First Guest is the term used to indicate the protagionist of the first season of the anime. The First Guest is a businessman/office drone with a wife and son to support. His ultimate fate is becoming the empty shell of a man, Haniwa Salaryman.
The Second Guest Edit
The Second Guest is the term used to indicate the protagonist of the second season of the anime, appropriately subtitled "The Second Guest." The Second Guest is a young woman who checked in on the way back from her best friend's wedding, where said friend married the Guest's ex-boyfriend. Some believe this was Haniwa. The Second Guest is a smoker (ticking off Hell's Chef more than once) and has issues with anger. Her ultimate fate was becoming a resident of the hotel and apparently being welcomed into Gregory's family; although we do not see her final form, James speaks to a person casting the shadow of a mouse during the final episode, while Gregory is in the front hall and Gregory Mama generally doesn't leave her room.
Boy and Girl Guest Edit
The Boy and Girl Guests are the protagonists of Gregory Horror Show: Soul Collector. The player plays as one of these characters depending on the gender the player gave at the beginning of the game. The body of a young child is loaned to the player by Death so the Guest can gather the Lost Souls the hotel's residents are carrying. Ultimately, the Guest gathers all the souls, returns them to Death, and escapes to reality, but then realizes the nature of the hotel and eventually returns.