This is going to be dull exposition post so feel free to skip this comment.
To start, there are currently four games in this series with two more in the works, one of which is nearing its release in Japan. Only the first three games are available in English. Those are "Hyperdimension Neptunia", "HDN MK2", and "HDN Victory" all on the PS3. The last three are on the PSVita and the only one that released so far is Japanese exclusive.
There is also an anime, currently airing with 8 episodes already out at the time this comment was made.
In Gameindustri, there are four CPUs, Console Patron Unit, who rule their respective nations (Planeptune, Lastation, Lowee, and Leanbox). They are kinda like goddesses so that also makes them ageless. Three of the Four CPU's have little sisters, the CPU candidates. The CPU's represent consoles while the CPU Candidate's represent portable systems. Each CPU, and CPU candidate, have a human form and a CPU form they can transform into. Vert has no little sister since there is no XBox portable console. The game they were playing in the last part showed their CPU forms.
Also, the game they were playing is an in-joke, as it is called "Four-Goddesses: Online".
Purple Heart (Neptune) = Sega Neptune
Purple Sister (Nepgear) = Sega Game Gear
Black Heart (Noire) = PS3
Black Sister (Uni) = PSP
White Heart (Blanc) = Wii
White Sisters (Ram and Rom) = DS
Green Heart (Vert) - XBox360
As of Victory, there are 2-3 more CPUs.
There are also 2 types of human characters. Regular humans and Makers. Makers are human characters who are typically stronger than normal people and represent certain companies. None have actually appeared yet on Unskippable so bare with me.
IF = Idea Factory (Appears in 1, MK2, and V)
Compa = Compile Heart (Appears in 1, MK2, and V)
Nisa = NISA (Appears in 1 and MK2)
Gust = Gust (Appears in 1 and MK2)
5pb = 5pb (Appears in 1 and MK2)
Red = Red Entertainment (Appears only in 1)
Cave = CAVE (Appears only in MK2)
Falcom = Nihon Falcom (Appears in MK2 and Victory)
Broccoli = Broccoli (Appears only in V)
CC2 = Cyberconnect2 (Appears only in V)
Mages = MAGES (Appears only in V)
MarvelousAQL = Marvelous AQL (Appears only in V)
Tekken = Tekken (Appears only in V)
Compile (a.k.a. 1st Gen Compa) = Compile (Appears in MK2 and Victory, not playable in either)
There is a crap load of more stuff I'm not covering, like Arfoire (R4) and Pirachu (Pirating + Pikachu) but anyone who's interested now can just go and look up this stuff themselves.