Grand Theft Me: Black Bellers are capable of taking over the bodies of human hosts.
I'm Cold... So Cold...: Last words of a Drachelander (German-descended) knight in the first book, after he was swarmed by enemies and the protagonist arrived just too late to save him: "'siz kalt."
Interdimensional Travel Device: People can travel between the artificial universes of the setting by using gates. Gates can be activated by various means, including tokens and playing music on a special horn.
Healing Factor: All Thoans and some dwellers of the pocket universes able to regenerate lost and damaged body parts.
Portal Cut: One of the many interdimensional teleport gates is a trap that dismembers by severing the connection and the intruder.
Recursive Precursors: This fact has been revealed in Behind the Walls of Terra. Thoan home universe itself has been created by unknown race.
Red Pill, Blue Pill: An aging man with a failed life and a shrewish wife is in the basement of a tract house he is buying when a door between the worlds opens up. He can stay with his living-death retirement or leap into the utter unknown. Soul-killing safety vs death-or-glory.
Significant Monogram: Paul Janus Finnegan's initials are the same as Phillip José Farmer's. This is something of a recurring easter egg in Farmer's works.
Villainous Incest: Incest is perfectly acceptable among the Lords and Ladies of the pocket.
What Happened to the Mouse?: The eventual fate of Robert Wolff/Lord Jadawin and Chryseis is never revealed after their disappearance in A Private Cosmos.
World Shapes: The World of Tiers takes the form of a world-sized Tower of Babel, just that the continent-sized layers (tiers) are way wider than they are tall. And the top layer has the Lord's palace on it.