"The reason it's so hard for Jiraiya to figure out is that, even though it may not seem like a big deal to manga readers like us (who are aware that anything can happen in fiction), to someone like Jiraiya who has to live within the bounds of reality set out by the manga, it's an idea that simply beggars belief. You have to admit that even after we've dealt with ancient powerful demons contained in human forms, reanimating the dead and perpetual reincarnation through bodily possession, the idea of a person who can be 6 different people at once is definitely the most far-out idea Kishimoto has written into the series yet and it's no surprise that even someone as well-travelled as Jiraiya would have trouble believing it." Correct!
although i have a few differing views on how things roll out, like the thing binding all the "pein's" is probably not a person, but i feel, maybe, some sort of parasite, or symbiote (ie: like venom) that directly ties in to jiraiya. And that the symbiote/parasite monster has to do directly with the RINNENGAN. Perhaps it IS the rinnengan! twisting and manipulating the user's chakra, allowing any element of jutsu to be used, and enhanching the user's specialty techniques(ie; the summoning guy, ninjutsu guy, technique guy, taijutsu guy) the rinnengan(parasite/symbiote/evil bitch) infected yahiko, and takes control of his body, thus adding his conciousness to the others, and "powering-up" his abilities, whilst giving him a "connected vision" type deal with all the others. not many of the "pein" seem special on their own, they all seem kind of weak. but when they use each other to cover weakness'es and counteract the attacks they are weak against. The become quite impenetrable.
Which also makes me belive its VERY possible jirayia WILL join them, and naruto will have too be all fuuma rasenshuriken.
PS: the BIG secret on how all the pein's are connected is!!!!!!!!!!!!!! they are all blond. =)
"Knowing is not enough, we must apply.
Willing is not enough, we must do."
- Bruce lee