Ayreon[]
For a more detailed explanation, see this article
Ayreon was a minstrel in the sixth century, who received visions from the future as a result from the Time Telepathy Experiment. He sang about these visions, warning man of his demise, but it was to no avail - Merlin, believing Ayreon to be fake, removed him from history, and no one even remembered Ayreon, as only few lines in ancient lore had been changed as a result of the experiment (E=mc²) and his quest had failed.
Merlin[]
Merlin was a sorcerer in the 6th century. He was king Arthur's magician and prophet, and a seer. Since he was unaffected by (and thus ignorant of) the Time Telepathy Experiment, he assumed Ayreon was trying to deceive everyone when he spoke of his visions. Merlin therefore decided that Ayreon needed to be silenced, and cast a spell to erase him from history. However, after he had done this, he received a vision that proved Ayreon was genuine. He was stricken with grief, and as he didn't want to go into eternity as a martyr, he vowed to pass Ayreon's message into the twentieth century, hoping it wouldn't be too late and that humanity would heed the warning this time.
King Arthur[]
King Arthur was a king in sixth century Britain. His wife was called Guinevere. He had a personal magician and prophet, Merlin, at his court. When Ayreon arrived at his castle, he appointed him as a minstrel.
Villagers[]
The villagers don't actually trust Ayreon's visions. At first, they are curious, but when one of them accuses Ayreon of being a devil's spawn, the rest of them quickly join in and together, they drive Ayreon from their village.
Knights[]
The knights only sing in Merlin's Will, but they are also mentioned in Sail Away to Avalon, where Ayreon sings of their quest to find the holy grail (on the isle of Avalon). In Merlin's Will, they warn Ayreon that whatever Merlin wants, will happen, and so Ayreon's end is nigh.
Nobleman[]
The Nobleman only appears in Ye Courtyard Minstrel Boy. He invites Ayreon into king Arthur's castle, to sing as a minstrel.
Guinevere[]
Queen Guinevere doesn't actually appear in the album, but she is mentioned in Ye Courtyard Minstrel Boy. She is the wife of king Arthur. When Ayreon sang at the court, to become a minstrel there, he had to win her 'heart' in order to be appointed.