If it weren't for that moment I wouldn't recommend playing the first game before this one.

So good. I felt so bad for Songbird, and then I realized we were in Rapture and my mind... it melted.
I do love the hints throughout the whole game too. Like the coin toss being the twin's experiment for constants vs variables as well as being a meta commentary about linearity in games.
Anyhoo this is the best explanation I've read for the universes,
Universe B
Dewitt is baptised and becomes Comstock after the Battle of Wounded Knee. Comstock is a hero of battle and becomes involved with politics.
Columbia was created to show the might of the US and was used by the government as a means of stopping the Boxer rebellion. Comstock becomes mayor of Columbia and takes the city away from the sodem soil.
Comstock tries to have a daughter with his wife, whom is later revealed to be sterile. The lutece twins' contiued research into quantum physics (the means of which Columbia floats) allows them to open doors between worlds.
Universe C
Dewitt backs out of the baptisim and takes up gambling as well as drinking as a means of dealing with his involvement at the Battle of Wounded Knee.
He gets into debt and has to sell his daughter (Anna) as a means of payment to Robert Lutece. She is taken by Comstock through a portal, which quickly closes a leavs a part of her little finger behind - she is now tainted as part of her still exists in another universe.
Booker now embarks on a mission to retrieve a girl from Columbia to wipe away his debt. His memories have become distorted due to his involvement with Anna but he has engraved her initials into the back of his hand.
Universe A
Elizabeth and Booker return to his batism ceremony after the Battle of Wounded Knee. He begins to see Liz's ability.
They return again and Booker is convinced that he should go through with the ceremony to keep Elizabeth safe from himself due to the event sthat have just transpired (the game). This will result in Universe B.
Elizabeth has another idea and decides to drown him, which denounces Universe B and C. The end credits roll and at the end we see that Anna and Booker are together in a universe where nothing has happened.