"The characters in the song - Crazy Chester, Luke, Anna Lee, are based on friends of the band. In Levon Helm's autobiography This Wheel's On Fire: Levon Helm And The Story Of The Band, he explained:
"We had two or three tunes, or pieces of tunes, and "The Weight" was one I would work on. Robbie had that bit about going down to Nazareth - Pennsylvania, where the Martin guitar factory is at. The song was full of our favorite characters. "Luke" was Jimmy Ray Paulman. "Young Anna Lee" was Anna Lee Williams from Turkey Scratch. "Crazy Chester" was a guy we all knew from Fayetteville who came into town on Saturdays wearing a full set of cap guns on his hips and kinda walked around town to help keep the peace,if you follow me. He was like Hopalong Cassidy, and he was a friend of the Hawks. Ronnie would always check with Crazy Chester to make sure there wasn't any trouble around town. And Chester would reassure him that everything was peaceable and not to worry, because he was on the case. Two big cap guns, he wore, plus a toupee! There were also "Carmen and the Devil", "Miss Moses" and "Fanny," a name that just seemed to fit the picture. (I believe she looked a lot like Caladonia.) We recorded the song maybe four times. We weren't really sure it was going to be on the album, but people really liked it. Rick, Richard, and I would switch the verses around among us, and we all sang the chorus: Put the load right on me!" "
This came from a site called "Songfacts" and here is the link concerning "The Weight" by The Band
There are ALOT of other theories listed too .....