You were the bad guy all the time before you became bad. Elizabeths drowned you before you took off as Comstock. And Probably snuffed out infinite lives in all your timelines along with you due to whatever you effected with your ripple of influence on events.

It's scripted. Everyone takes the same doors. So, by having Songbird destroy the Monument (aka the siphon), Elizabeth can use her powers to their full potential. And everything sort of comes back to her. The doors are "gateways", per se, to different "oceans", different universes. Parallel universes. "What are all these lighthouses, wh-" "They're a million, million worlds. All different - all similar." "It's us." "Not exactly. We swim in different oceans but land in the same shore." "I don't understand." "You don't need to. It'll happen all the same. Why? Because it has. Because it will." "No one tells me where to go." "Booker . . . you've already been." Yes. Anna is Booker's daughter. After the traumatic event (the Battle of Wounded Knee, a real battle), Booker became an alcoholic and a gambler. He fell into some kind of debt, and then one day Lutece (as a messenger for Comstock) offers Booker a way to get rid of his debt - by giving away his daughter. "Bring us the girl, and wipe away the debt." Booker agrees, but then changes his mind soon after. He tries to stop Lutece and Comstock, and in the struggle, Anna/Elizabeth's little finger is cut off when the Tear closes. That's also how she acquires her innate powers. Lutece (and this can be glimpsed through the audio diaries) eventually becomes disheartened by what Comstock has done, and so he/they (I don't know if his sister actually exists) finds a way to bring Booker to Columbia, to rescue Elizabeth. But what Elizabeth tries to show Booker is that in other worlds, he didn't choose to give her away. In other worlds, he didn't even go to Wounded Knee. In other worlds, he chose to be baptized and washed free of his sins, and in other worlds, he became a new man, Zachary Comstock, and in other worlds, he found religion, and in other worlds, he created Columbia, and in other worlds, he takes his daughter from himself. Booker and Comstock exist in millions of worlds, because they're the same. Booker became Comstock in this particular world. And to prevent Booker from ever changing into Comstock, and thereby preventing Booker from ever selling his daughter, he is brought back to his baptism, and instead of accepting it, he is drowned. The most important thing to remember, is that it's purposefully cryptic and ambiguous, and open to interpretation. It means what you want it to mean -- it means whatever meaning you find in it yourself. I personally have a vague idea of the meaning of this, but I can't be sure, and it's difficult to explain.