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Canon Fodder: While the series was going on, it was assumed that all the loose ends and questions would eventually be resolved or answered, leading to huge amounts of speculation. Most of it was never referred to again.
Cargo Ship: In The End, Olaf embraces his weapons — a harpoon gun and a container of poisonous mushrooms — as if they're the only things he loves.
Crowning Moment of Funny: "Mr. Poe meant well, but a jar of mustard probably also means well and would do a better job of keeping the Baudelaires out of danger."
For some reason, this troper laughed for about ten minutes when Mr. Poe shouted "Come back here, you unpleasant person!" at a fleeing Count Olaf in book four or so.
Many of Olaf's lines are this thanks to him being an expert at black comedy.
At the beginning of The End, Count Olaf finally has captured the Baudelaire Orphans. In past books this would certainly terrifying for the Baudelaires, but Olaf has them out in the middle of the sea with him, making their fortune useless. Not only is Count Olaf's ego hilariously inflated at this point, and the Baudelaires are more annoyed with his smug, obnoxious behavior as opposed to being scared of him.
"The bears bear hard hard yarn yarns."
That monologue made it impossible for this troper to hear the phrase "more than I can bear" with a straight face ever again.
It twists my brain around in a damn Gordian Knot just trying parse it.
The ballerinas in The End.
The page-long string of "ever"s in Book the Second when Lemony is trying to tell kids they shouldn't ever play with electrical things.
Thanks to her clingy unlucky husband, Esmé often gets this treatment. And Carmelita too, since she acts as her surrogate mother.
Epileptic Trees: A rather pervasive bit of Fanon holds that everyone and everything the Baudelaires encounter is part of a massive Xanatos Gambit arranged by an Ancient Conspiracy with the purpose of training them for V.F.D. Theories of the "Minor Character X is really Character Y/one of the Baudelaire parents/Lemony Snicket" sort also show up.
Everyone Is Jesus in Purgatory: One can make a somewhat reasonable case for the Series being an allegory for the history of the Jewish people, and Daniel Handler has himself noted that the Series contains Jewish themes. Snicket's frequent use of Meaningful Names and literary allusions has also inspired a fair amount of overinterpretation.
Fridge Horror: Even though you know that a lot of very unpleasant things happen in the lives of the Baudelaires, the author narrates those events with a good touch of humour — that it tends to lessen the impact of the feeling of true hopelessness and distress that the Baudelaires must consistently endure.
Growing the Beard: The whole Mind Screw started and was hinted from the third book onwards, but it's after The Austere Academy when things really took off. That's because when he was writing the fifth book Handler had finally had his contract signed for 13 instalments and could plan ahead the plot.
You could say that The Miserable Mill also grew the beard since it revealed there was a connection between Lemony and the life of Count Olaf. Monty's death in The Reptile Room was also a key emotional step.
Hoist by His Own Petard: The Adults Are Useless mentality of pretty much everyone the kids meet probably made most of them Too Dumb to Live when they refuse to believe the building they're in is on fire. YMMV on whether the (potentially lethal) negligence displayed by characters who were otherwise good people made this Laser-Guided Karma.
Misblamed: The plot of The Film of the Book is attacked for trying to fix the insubstantial nature of the books it was based on; alleged leaks of the author's original screenplays indicate that he'd have deviated even more wildly.
Nightmare Fuel: Count Olaf for most of the books is horrifically obsessed with getting his hands on the Baudelaire's fortune to the point that he's more than happy to kill a trio of children that includes an infant for their money, and seems to know exactly where they are every single time they go to a different area to live at, and manages to make their lives a living hell with each encounter that they only escape from on the skin of their teeth each and every time. The absolutely creepy pedophiliac overtones between him and Violet in the first book do not help at all.
Paranoia Fuel: Beneath the surface of society is a violent feud going back decades between two factions of a child-stealing conspiracy, many members of which lead elaborate double lives as respectable members of the community while in secret they have few compunctions about arson or murder; your parents, teachers and especially librarians are probably in on it, and so are waiters and hotel managers, while taxi drivers are just waiting to whisk you away to a new life.
Periphery Demographic: Like Harry Potter, it's one of those books you'll often see teens and adults picking up for themselves, possibly not allowing their own children to read them until they are mature enough that it won't give them nightmares.
Tear Jerker: Spoken by Sunny, in book thirteen: "If we fail, at least we die reading together."
The End: The title of the last book, but the story itself deeply subverts the notion of endings.
Specifically, it does this by pointedly refusing to answer any of the questions or resolve any of the plot threads that built up over the course of the series, and while resolving the story after a fashion, consciously skirting any feeling of satisfaction or closure. Fair warning.
They Changed It, Now It Sucks: For some, the humongous conspiracy involving V.F.D is this thanks to how complicated it made the plot from beyond Book 5. It doesn't help that it doesn't really get any real resolution either.
Villain Decay: Count Olaf got less and less threatening as the books went on, although to some degree other villains picked up the slack.
Of course, in this case 'less threatening' does not necessarily translate into 'less dangerous'
It's not so much decay as the fact that you realize that he is not even The Dragon to an incomprehensibly vast Ancient Conspiracy that is never fully explained but nonetheless pervades the last 4 books. Olaf's a Mook Lieutenant at best and just a flat-out Mook at worst–even the very definitely evil woman with hair but no beard and man with beard but no hair appear to be taking their orders from someone else. And that person could be taking orders from someone else, and so on...