Well, we know that the third film will definitely have the following characters.
Hellboy, Liz, Abe, Johann, Lobster Johnson
Rasputin, Kroenen, and Kriegaffe (Also, hopefully Ilsa will be back)
The story will revolve around Nazis and their renewed plan to bring about Ragnarok, the end of the world.
Hellboy will be tricked into setting things in motion. Probably it'll be the Nazis using Liz and her kids as a leverage to force Hellboy to do it. Similar to what they made him do in the first film.
Also, I believe the whole scene where Abe betrays everyone in the second film and says that Hellboy would do the same for Liz is more than just throw away dialog. It's an allusion to what will happen in the third film.
del Toro has mentioned something about a fallen angel that plays an important role in the third film. I'm not sure how he'll use that character.
Finally, I have a hunch that Johann will play a role in causing trouble, as well. I personally believe that Johann is a Nazi (he spends some time staring at the Kroenen masks in the second film) and has infiltrated the BPRD in order to get certain artifacts/information located within the BPRD headquarters.
He's probably also using his growing friendship with Hellboy and the others as a way of lulling them into a false sense of security.
It's all just my speculation.