I really do think that the Sage idea is a good one. And I don't care if Bethesda only did it as a simple way for the Dragonborn to learn new shouts; I don't like things to be open-ended.
I mean, i don't see how it could be anyone who wants the Dragonborn dead (Miraak, Thalmor, ETC); Tactically speaking, anyone who thinks it's a good idea to make his enemies stronger before they fight has the wrong idea. Oh, could it be the Nerevarine? It's not widely known, but the Nerevarine (main character of Morrowind) does end up becoming immortal. He/She would definately have a vested interest in the development of allies powerful enough to contend with the Thalmor. And if you think about it, The Dragonborn Throne is named such for a reason. I think the Dragonborn has every right to walk into the Imperial City, take the throne of the Emperor, and start giving orders. It's only a matter of time before the Thalmor realize this. It makes since that someone who knows the Thalmor is the true threat would want to help the Dragonborn reach the point where the Thalmor wouldn't be able to stop him/her if he/she attempted to sieze the Dragonborn Throne. This individual could be anything from The Sage (immortal mage, afore mentioned) to a previous PC (Neravarine, Hero of Kvatch, both of whom achieve immortality) Or even someone who recieves, as fits many opinions, receive dreams/premonitions from the Nine Divines (whether or not it's only Talos doesn't matter. In fact, the divine most likely to know enough to help the Dragonborn would be Julianos, god of Knowledge.") The Hermaeus Mora theory is a good one as well, seeing as in the Dragonborn DLC, he seems to have a vested interest in the Dragonborn's wellfare, but there are a few holes in that theory, mostly having to do with the fact that the Thu'um is a Divine skill, meaning that it would probably be shielded from Daedric knowledge.