Originally posted by Sho-sa Kurita
Another mystery to explore, and someone please tell me if this has been dealt with in any books, is the nature of the Prophets' relationship to Bajor. They are 'of Bajor.' What does that mean? Is there an actual physics-based connection, or purely a metaphysical one? If by choice, what prompted them to set themselves up as gods?
Well since you asked, I'll provide my personal explanation of this. 
Actually, I had two hypothesis :
First, the Prophets could be a completely different lifeform, who happened to evolve in this wormhole near this planet that hapened to also harbour life. The Prophets took a liking to these creatures, and decided to help them (alternatively, they could simply be conducting some vast experiment on them, like Q would) by guiding some of their decisions. The pagh wraiths are just other Prophets, who wanted to take a different direction in the way the Bajorans were led, and thus were exiled by the other Prophets (alternatively, it could simply be part of the Prophet's experiment, and the wraiths could simply be off shots of the Prophet's race, designed for this purpose).
The "we are of Bajor" comes from the fact that they live in the Bajoran system as well, therefore considering themselves Bajorans.
Another hypothesis would be the Prophets to be the Bajorans from thousands, maybe billions of years into the future. After having undergone an evolution to another plane of existence and consciousness (one particularly for which the concept of time became different), they built the wormhole to house them, and decided to help their forebears to evolve to what they've become (recursive causality here, of course - but that does't frighten anyone in Trek, does it ? Alternatively, they could come from another dimension, having decided to help this particular continuum to evolve like they did to have some company).
The path wraiths would still be "bad" future Bajorans, or perhaps simply wanted to enhance their species to have it become much more powerful than it is (or altnernatively, they'd be Bajorans from another dimensions with a very different agenda).
There must surely be a lot of others, more mystical explanations, but I like those two ones.
"The main difference between Trekkies and Manchester United fans is that Trekkies never trashed a train carriage. So why are the Trekkies the social outcasts?"
Terry Pratchett