Although he isn't mentioned by name in the episode... we have finally arrived ladies and gentlemen. After some misdirection and teasing, Loki finally introduced us to the next big bad in the MCU: Kang. In the series, his history is similar to that of the comics although the MCU does take some liberties with the lore. Since he calls himself the first variant in the season finale, we can call him Prime Kang (or He Who Remains)
When Loki and Sylvie meet He Who Remains, he explains to them that he's one of many of his own variants. Somehow, in the future, each Kang variant discovers the multi-verse. They reach out to each other, and start to collaborate. Unfortunately, some of them would prefer to conqueror the multi-verses. After some time, a war starts between all the Kangs and causes a massive multiverse issue. Prime Kang then discovers and uses Alioth to destroy the other timelines and their Kangs, and isolates the sacred timeline.
Sylvie ends up killing Prime Kang, who was the lesser of the evils (but still evil). Although he created the TVA to stop branches of time, which ended up killing millions by pruning them, he was trying to stop his variants from destroying time itself. This guy is just a problem at all levels.
Kang's variants, specifically Kang the Conquerer, will be a catalyst behind everything leading up to the next massive Avengers film. We see a statue of Kang the Conquerer when Loki makes is way back to the TVA.