Soul of Dagon: Soul of Dagon obtained in Dagon. It is used to unlock Nyarlathotep.
Soul of Nyralthotep: Soul of Nyralthotep obtained in Nyarlathotep. It is used to unlock R'lyeh.
Soul of Cthulhu: Soul of Cthulhu obtained in R'lyeh. It is the final Soul and placed onto columns with the other two souls to unlock the Endless Library