The youngest Baudelaire is only a baby and only intelligible to her brother and sister (at least at the beginning). However, she is extremely intelligent, and in addition to having four very sharp teeth as a weapon, she also demonstrates admirable cooking skills later on.
Baby Talk: This changes when she starts to speak coherently towards the series' end.
Character Tics: Sunny likes to bare or sharpen her teeth, chews on objects when she's agitated or just for fun and bites people gently in greeting and hard if she doesn't like them.
In "The Slippery Slope", Sunny takes advantage of her tendency towards baby talk and repeatedly insults Olaf, knowing he can't understand her.
And in later books, instead of gibberish, she often says words (or partial words) that relate to her response, or at least the topic being discussed. For example, when describing a sword fight, she says "Flynn", when somebody mentions a train, she says "Esoobac", when talking about going undercover, she says "Dragnet", and when somebody asks her to do something impossible, she exclaims "Unfeasi!"
Little Miss Badass: She once fought against a sword-wielding hypnotist with her teeth, and held her own for a good while.
The main villain of the series, Count Olaf is a villainous actor whose goal is to murder the Baudelaire children and steal their fortune, no matter where they go and how many stupid disguises he has to wear. He's revealed to have a connection to the shadowy organization known as VFD.
Abusive Parent: To the Baudelaires...an abusive foster parent, anyway.
Manipulative Bastard: Though having said that, it doesn't really appear that difficult to manipulate someone in the Snicketverse.
Mysterious Past: Duncan and Isadora Quagmire mention newspaper articles that a man with similar traits as Olaf had strangled a bishop and escaped prison in just ten minutes and another report of him throwing a wealthy widow off a cliff. The Baudelaire children agree that it sounds like Olaf and believe him to be the man mentioned in the articles.
Older than They Look: Hints throughout the later books would suggest that Olaf was in VFD training with Kit and Lemony, making him around 39-45, but Helquist's illustrations depict a man that looks around 50-60 years of age. Also, the movie's depiction.
Old Man Marrying A Child: He attempts this with Violet in the first book and the film adaptation. He fails and attempts to kill Violet and her siblings.
Paper-Thin Disguise: His disguises only ever cover up his unibrow and ankle tattoo, which is what everyone always recognizes him by.
Pet the Dog: He has a moment with Kit just before his death that qualifies.
Pyro Maniac: It's clear that he has at least burned a hospital, a carnival and a hotel to ground and it's suggested that he also burned the Baudelaires' mansion, but Snicket never confirmed the fact.
In the final book, the Baudelaires confront Olaf over their suspicions of him burning down their mansion. His initial response is "Is that what you think?" followed by "You know nothing."
Woobie, Destroyer of Worlds: Maybe. It's implied that Beatrice and/or Bertrand Baudelaire and/or Lemony Snicket killed his parents with poison darts during a performance of La Forza del Destino.
You Are What You Hate: Olaf, a man whose parents were killed by poison darts while at an opera house, has a license plate with "IH8ORPHANS" inscribed on it.
You Killed My Father: The film makes it more blatant that he was responsible for the death of Baudelaires' parents and the burning of their mansion than in the book, as Klaus finds the giant magnifying glass responsible for it and exposes it by burning the wedding contract.
Esmé Gigi Genevieve Squalor
One of the Baudelaires' many foster parents turns out to be evil and becomes Count Olaf's girlfriend. She's a wealthy woman ridiculously dedicated to keeping up with every ludicrously inane fad that comes about.
The mysterious narrator of the series who holds a torch for a deceased woman named Beatrice.
Alter Ego Acting: Daniel Handler and Lemony Snicket - separate characters in the books themselves.
Author Appeal: Mild example - Daniel Handler is something of a gourmand, and hence the Lemony Narrator never misses an opportunity to describe some delicious dish, even providing a salad recipe in the midst of an urgent-seeming message to his sister embedded in the tenth book.
Plot-Based Photograph Obfuscation: Snicket never shows his face in photographs, but there are several possible explanations for why this is, and most such photographs are only seen by the audience in his author bio rather than by the characters.
This also applies in-universe. A note in the Quagmire diaries indicate that Snicket's face is never seen in a photograph. And indeed, when the Baudelaires find a photo of their parents, there is an unidentified man with his back turned next to them.
Stalker with a Crush: Inverted - Lemony's a good guy, but he does stalk the children of the woman he loved but couldn't have but should have had.
The mysterious initials of a shadowy organization that everyone - from Olaf to the Baudelaires' parents - is connected to.
The Omniscient Council of Vagueness: V.F.D., and specifically the transcript of the meeting of the vague "Building Committee" in the Unauthorized Autobiography - even the author didn't know some of what was being discussed here, and he was technically in attendance.
The Baudelaires' friends are a identical brother and sister whose brother Quigley died in a fire. Referring to themselves as "triplets" (just because Quigley's dead doesn't mean they were born twins), they help the Baudelaires out and get kidnapped for their trouble. Duncan is a journalist while Isadora is a poet specializing in couplets. Later on, Quigley is revealed to have survived.
Tyke Bomb: In her second appearance, Count Olaf and Esmé Squalor adopt Carmelita Spats as a Tyke Bomb, but she's so thoroughly spoiled by Esmé as to be utterly unhelpful, and after demanding lessons on how to spit in exchange for shooting someone with a harpoon she's ditched by Olaf; he later turns his attention to Sunny as a possible replacement.
Count Olaf's Troupe
Olaf has a large variety of henchmen he calls his "acting troupe."
Ambiguous Gender: The Person of Indeterminate Gender, a.k.a. the enormous person who looked like neither a man or a woman.
Dirty Old Man: The Hook Handed Man, aka Fernald. The Bald Man also seems to be this way in regards to Violet in the first book.