Equestria is a Parliamentary Democracy, with Celestia and Luna co-ruling as the monarchical crown.
Equestria is one country on a small earth-like planet, in which other countries reside.
There are no spacefaring nations in the World as of yet.
The moon is proportionately smaller and closer to the World than the Moon is to the Earth.
Celestia and Luna are not immortal, but extremely long lived.
Celestia, Luna, Discord, Sombra, Tirek and Scorpan are not the only beings of this exceptionally long life cycle; certain kinds of Magic may extend one's life. Thus the Elements of Harmony and Princess of Love probably have greatly extended lifespans, as well as many ponies exposed to them through everyday contact to them or their magic.
Equestria has no federal or municipal police forces, since crime is nearly nonexistent.
Fluttershy and Rarity knew each other before the events of S1E1 Friendship is Magic; their weekly spa sessions has carried on before then too.
Rainbow Dash or Fluttershy or both have an as-yet unmentioned sibling(s) as well.
Gummi the Alligator is literate.
Rarity is bilingual.
An exceptionally well-put-together insurance company is responsible for the restoration of Ponyville after episodes where large portions of the town are destroyed without apparently inconveniencing anypony.
What I do is invent headcanons which either facilitate possible or likely outcomes of future episodes based upon the past history of the show, or invent them based upon directions and characterizations which the show would probably never address. (Though in doing so, I always try to make characterizations and directions which the show would probably do if the show addressed them. For example, a canon space episode would probably have a pegasus flying into space, not a rocket.)