I've got a little fan theory concerning where—at least from the World-Of-Pokémon's perspective—Pokémon come from. Like, how they come about, where they come from, how new kinds of Pokémon are made, etc.
The TL;DR version of my theory is that there is a kind of Ditto—a PRIME Ditto, or Primitto—which forms the basis of ALL new Pokémon. The way it forms new Pokémon is that, as a way to survive and hide from predators, it permanently emulates something in its environment which it thinks may help it hide better. However, it doesn't really hide it from humans, as their odd, bizarre and strange caricatures of nature and humanity stick out like a sore thumb.
Here's the theory in full (via a graphic I made for 4chan):
But it's still a work in progress; this page will contain all my little notes about it. Y'all are welcome to participate with it as well, if you have an idea to add to it. I want to try to keep this as realistic as possible, with scientific plausibility being more important than trying to account for all the things Pokémon are said to do according to their Pokédex entries (like Charizard's ability to melt boulders, Entei being born out of volcanos, etc). Of course, SOME stretches of "scientific plausibility" will be necessary, but it would still have to make logical sense—such as if there is a creature made out of metal it makes sense that it has the capability to consume metals, break it down and use it to form its body just like we break down and use the matter from the foods we consume to help build our bodies.
And... there we are!