There's our world, the inner world, and other worlds. Ai and Yuu's parents who are scientists travel into the inner world for discovery. After not returning, the children decide to go look for them. The thing is that the inner is extremely weird. The series has an Alice in Wonderland type feel to it. We only know Ai and Yuu's background right off the bat.
The most common theme is that the Count wants the Demon Gun (Kaze) detroyed. The Count is a god in the form of a little spoiled child with purple hair who's always munching on some weird food in his fortress. He has four guardians which do his dirty work: Helba (think Posion Ivy), Hungus (the catapilliar from Alice In Wonderland crossed with Pico from F-Zero), Oscar (a puppet master who in the last episode seems to be something other than he seems), and Demon Swordsman (uses the same technique that Kaze uses to summon monsters but uses a sword instead of a gun).
There is a being known as Omega who was destroyed yet his pieces still remain.
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