Waiting for Godot obviously never actually explicitly says who Godot is or exactly why the characters are waiting for him. How much do the characters know themselves? For example, do they even know who Godot is or why it's important to wait for him, or do they just know that they're supposed to wait? Is there good literary analysis on this point?

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Haha. Great question! The ambiguity is intended and there is certainly exhaustive scholarship on the play and characters, which likely includes analysis of this question. This is a brief, partial answer, which I hope to have time to elaborate in the future:

At a very high level, they know only what is right in front of them, which is to say, the material reality (which, it is worth mentioning, involves disparity)

The characters don't really have backstories, just names, and it isn't even clear to the audience whether one is meant to be a dog or a human behaving like a dog (i.e. is it a wardrobe/casting choice? The best plays are playful;)

In terms of Godot, you know what they know, which is vague and unconvincing, and yet you don't really have much choice in the matter.

Where even are they? The set is so general. There is a tree, as I recall, but that's about it. In the words of a sage "Wherever you go, there you are".

It doesn't actually matter if they move on or not, they'll still be in a condition of waiting for something, because they themselves have no destination or purpose, other than existence.

Maybe it's actually purgatory? The settings of Beckett's plays tends to be purgatorial.

A location is in the general sense is indicated in the play's setting as "A country road. A tree.", but time and circumstances and every other aspect of the impending meeting is undefined, as is the never seen "Godot".

There are obvious religious and economic meanings, but as Beckett is purposefully enigmatic, I'd never presume to claim to fully understand his non-trivial plays.

However, two of the last lines of the play are:

VLADIMIR: (without anger). It's not certain.

ESTRAGON: No, nothing is certain.

and the very last lines and direction are:

ESTRAGON: Well, shall we go?

VLADIMIR: Yes, let's go.

They do not move.

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