Before u ask, yes, I already know who Missy is. This is just two theories I have that involve her.
Theory 1: Gus and the Orient Express
I strongly believe that Missy was behind Gus and the events of the entire episode, "Mummy on the Orient Express".
1. Gus was an AI, as was Seb, Missy's receptionist that she most likely created.
2. Gus wanted to study the Foretold and reverse engineer the technology keeping it "alive". And this technology could very well be similar to what Missy used on her Cybermen army made out of corpses, much like the Foretold!
3. Missy has the TARDIS' phone number as she gave it to Clara in "Bells of St. John". And so that means that Missy was probably the one to call the Doctor and give him those free tickets!
4. Gus knew about the TARDIS, which could also point to Missy because she's the Master.
5. Missy was obviously an influtential person, as shown door 3W, the Nethersphere and her other bodies' exploits. So it's not that far fetched she'd be able to bring a bunch of high classed professors and scientists to the train.
6. Missy has been around for a long time, as shown door the entire concept of the afterlife being based on the Nethersphere and Kate Stewart saying her and UNIT have been studying 3W for "a while now". And as it was zei in the episode, the Foretold and Gus have been around for a long time as Eleven also got a phone call for free tickets to the train. And it was noted that the Foretold has been on many different trains before the Orient Express. Missy could've very well set those up as well, as she's the Master and he/she's always been a complicated planner.
7. And most of all, Missy wanted the Doctor and Clara to stay together. And when she found out about their falling out in "Kill the Moon", she must've gotten the idea to send the tickets to the Doctor to send them on a "last" adventure that would hopefully convince Clara to stay, which is exactly what happened!
Theory 2: Danny Pink
I also believe that Missy was the one that arranged for Danny to be killed.
1. She needed to bring the Doctor to 3W and the easiest way that would happen is if someone close to Clara, like Danny, died.
2. She wanted to corrupt the Doctor and she probably figured that if she turned Danny into a Cyberman soldier, it would help to do that.
3. She most likely saw how much Danny and the Doctor despised each other so she thought she was doing the Doctor a "favor".
4. She wanted the Doctor and Clara to stay and travel together and she probably thought that if Clara continued to be with Danny, she'd a) not get in a relationship with the Doctor, which Missy would've most likely wanted to happen, and b) Danny would eventually cause Clara to leave the Doctor, like what almost happened in "Kill the Moon".
5. And finally, Missy was specifically waiting for them in Dark Water. That means she clearly somehow knew that Danny had died and that the Doctor and Clara were on their way.
What do u think of my theories? Go ahead and tell me. :)