long story: Marc Spector has Disassociative Identity Disorder. In the comics, he has three distinct non-superhero personalities: Marc Spector, Steven Grant, and Jake Lockley. The Superhero personalities bestowed by the Egyptian God Khonshu are Mr, Knight and Moon Knight. In the TV show, we have yet to meet Jake Lockley, although he was probably responsible for killing the two Egyptian guys in Ep 3 (recall neither Marc nor Steven knew what happened before throwing the kid off of the cliff at the urging of Khonshu). I'm thinking Jake was in the standing red sarcophagus at the end of episode 4... the one that was shaking but they left it alone. In the TV show, Mr. Knight is 'the suit' that Steven 'calls' while Moon Knight is 'the suit' that Marc 'calls', but they're separate identities in the comics. The 'suits' are the powers that Khonshu bestows upon Marc/Steven to enact Khonshu's will. Marc (the main identity in the comics... not quite sure who the main is in the TV show yet) was on a mercenary mission and died (along with Layla's father... don't know who killed them yet) and Khonshu brought him back to life as Khonshu's avatar. The Egyptian gods have left the Earth 616 dimension and are in their own pocket dimension. They do not come to Earth 616. They do not wish to intervene in human affairs for some odd reason, and subsequently, they enlist human avatars to be their eyes and ears in Earth 616. They operate as observers only, except for Khonshu and Ahmet. Ahmet is the Egyptian god of the afterlife that judges the souls of those that died. Ahmet was bound by the other gods long ago and uses Harrow as her avatar today. She wants to break out of her binding and judge all living beings on Earth, which would effectively kill everybody. She has the power to see the future of a person and judges on whether or not it's in their future to do wrong. Khonshu is a god of vengeance, he waits until a human does wrong than exacts his wrath upon them. The other gods don't really like Khonshu a whole lot. They bound him for a) calling their meeting and b) altering the sky to find the tomb where Ahmet's "idol" was hidden. People could see both of these acts and it exposed the gods so after warning him the first time, they bound Khonshu the second time.
Harrow shot Marc twice in the last episode, and he was in his own head. I don't know if Marc died per se, but the talking Hippo is an Egyptian goddess named Taweret, who is apparently an ally of Khonshu's and I think has come to draw Marc/Steven back into the world or resurrect him if he actually died. Kinda trippy, and if you enjoyed that, you should watch the tv series Legion.
Layla's Marc's wife/ex-wife. She doesn't exist in the comics. She's actually a fusion of several different characters in the comics.
I'm thinking all of it is real except for the head space stuff at the end of episode 4. It's kinda real, but it's in Marc's head.
That's all I'm gonna give you right now. If you have questions on specifics or things I didn't mention, let me know.