Once upon a time, long ago, there was a sorcerer named Jareth.
But Sarah's father and step-mother would not allow them to marry.
In a fit of rage, Jareth kidnapped the infant and spirited it away to the fairy realm.
Jareth also created a beautiful palace for his Sarah, one where she'd be treated like the Queen she was.
Overcome by grief, Jareth descended into madness.
A common name, it doesn't take Jareth long to find another dark-haired Sarah. Over and over again.
Some of the Sarahs complete their quest and win back their baby siblings.
Eventually becoming their God and King.
Only then does he build the Labyrinth.
As the Sarahs solve the Labyrinth faster and faster, new distractions are added.
The junk yard of useless treasure, the Bog of Eternal Stench. If his Sarah is determined to stay only long enough to regain the child, Jareth will delay her as long as possible in the hopes one day, she'll choose to stay.
But how does the story of Jareth become so garbled in the mortal world?
This is why when the most recent Sarah introduces herself to Hoggle, his response is the cryptic "That's what I thought."