The Straw Dolls
Aside from the suspects, by far the biggest clue in the True Detective season 3 premiere is the straw dolls. Multiple of these are found in the woods leading towards Will's body. It's later discovered that Julie received one at some point on Halloween night while trick or treating, likely from two adults dressed as ghosts. This implies multiple people are involved in the disappearance, seemingly undermining cases against Dan O'Brien and Ted Lagrange - and pointing back towards Freddy Burns.
It's speculated in 2015 by the documentarian that they could be linked to a pedophile ring, which presents a very clear and disturbing motive, although what's most interesting is that, 35 years later, they're still being speculated on: the real purpose and what they represent isn't known and, despite being a key clue for Hays, aren't ultimately essential for the eventual conviction.
The Letter From The Kidnapper
At the end of the True Detective season 3 premiere, the Purcells receive a letter allegedly from the kidnapper. It reads, "Do not worry. Julie is in a good place and safe. The children shud [sic] laugh. Do not look. Let go." The first part is rather simple (especially knowing from the future timelines that Julie is alive), but the second half is as confusing as it is disturbing.
Taking the letter as genuine and earnest, it would seem whoever's taken Julie aims to keep her safe. This again brings us back to thinking it's someone the Purcells know. The ambiguity of the letter stops any strong confusions, but the previously discussed mystery over her parentage would feel like a strong marker.
There's a WRONG Suspect In True Detective Season 3
There's a major clue baked into the very framing of True Detective season 3, something that doesn't provide any direct evidence for the abductor but does shine everything in another light: there's a misleading or outright wrong suspect. In 1990, the reemergence of Julie Purcell is enough for whoever is found guilty to attempt to overturn the verdict; suggesting that pieces come together in the wrong way. A key part of this would look to be Larson forcing the case to a premature conclusion, meaning Hays and West are unable to take in all the evidence.
What this means when trying to crack True Detective season 3 is that a lot of 1980-set developments could be misleading by context, seeing the audience led to suspect characters they shouldn't.
Wayne Hays' Memory Calls Everything Into Doubt
Beyond the potentially wrongful conviction, there's a lot of the premiere episode that feels subjective. True Detective season 3 is clearly about perception, with the 1980 investigation only told because of the appeal and the documentary (whose presenter has some ulterior motives), with Hays' account of events built on defending his actions and working against the effects of what appears to be Alzheimer's. Nothing is being shown straight, and that's the point; True Detective is never about simply about solving the case, it's the meaning behind the solving.
In this situation, the themes of time and confusion means there's potential for some actively misleading clues or misrepresented events; nothing so far has lined up with that, but the ending of episode 2, with Hays stood in the middle of a street at night not knowing how he got there, makes it a distinct possibility.
What Happens Next In True Detective Season 3
However, as misleading as it could prove to be, the non-chronological narrative for True Detective season 3 does mean we get teases of events still to come in 1980 and 1990. The documentary interviewer alludes to a high body count associated with the case, meaning that there is surely a lot more death to expect.
There are also some big clues to evolution in Hays life. Between 1990 and 2015, his wife dies and he becomes estranged from his daughter. In fact, it's hinted that him doing the documentary is to allow him to revisit these events and somehow find closure. He may also want to do the same with his partner, Roland West, who it's alluded is no longer around in 1990. All in all, there's a lot more still to go down.