These are what we call the 'YMMV items.' Things that some people find in this work. We call them 'your mileage might vary' because not everyone sees these things in the same way. This starts discussions in the trope lists, a thing we don't want. Please use the discussion page if you'd like to discuss any of these items.
Alas, Poor Scrappy: Steve the Drunk's big mouth was determined to tempt Karma, but boy, what happened to him in the end was nasty.
Badass Decay: Averted; Al Swearengen grows more sympathetic and helpful over the seasons, but one scene seems to be explicitly written to remind the viewer what a sadistic bastard he can be: Swearengen has one of Hearst's mooks at his mercy and delivers a speech of righteous indignation over the mook's crimes, then admits that he's really just torturing the mook for the fun of it, and would himself kill women and children without hesitation.
Complete Monster: Season 3's Big Bad, George Hearst, slaughtered the Cornish workers in his employ for unionizing, cut off Al Swearnegen's finger as a show of power, and attempted to have Captain Turner kill Dan Dority in a public street fight that is long and drawn out, both to emotionally torture Al and demonstrate that Hearst holds all the power in town. He also hires an army of Pinkertons to terrorize the town, sending Odell Marchbanks on a dangerous quest to find gold which ends up getting him killed. He has the head Pinkerton Barret savagely beat Merrick in response to posting a notice about the poor working conditions of Hearst's employ. Hearst then orders the death of heroic prospector Ellsworth to force Ellsworth's wife to sell the land Hearst wants to him. To demonstrate his power, he also forces Al to murder his favorite prostitute for trying to assassinate Hearst. It's implied he may know Al killed a lookalike girl, but simply doesn't care, more than happy he broke Al completely.
Creator's Pet: The theatre troupe in general in season 3 and Jack Langrishe in particular.
Crosses the Line Twice: Mr. Wu goes to Al's office to demand (in his broken and extremely limited English) that he do something against his rival, Mr. Lee. Al says that he will meet him "to see how much juice [Lee]'s got behind him". Wu is confused and asks "Jews?" while mimicking a bunch of coins in his hands. Al negates. Wu gets up from his seat then, moves to the window, points to Sol Star's shop, pretends to have a big nose, and asks again: "Jews?"
Fridge Brilliance: It's not until very late in the series that anyone realizes that the girl Sofia might not have actually seen her parents die, as everyone has hitherto assumed, and might actually believe that her parents just abandoned her in the woods for no reason.
Magnificent Bastard: Al Swearengen slowly earns this title over the course of the second season when it becomes clear he's trying to bring order to the horrible frontier town in order to protect his dominance. Sure he orders hits on little girls, kills innocent people and generally does horrible things to everyone, he's practically a populist man of the people compared to Hearst and his cronies.
Rooting for the Empire: Untill Hearst shows up as the Big Bad, the rather wooden goodie sheriff Bullock doesn't hold a candle to the criminally magnificent Swearengean. Not a literal rooting as his early deeds are despicable enough, nevertheless Ian McShane's role is widely considered the most memorable character of the show.
Squick: The Gleet. "Mother of God" indeed. Also Doc Cochrane pushing a needle through a headwound in the first episode.
Trapped by Mountain Lions: The theater troupe in season 3. Maybe they would have had some kind of payoff if the show had continued, but as it is they just feel like a big waste of time in the final season.
Villain Decay: Tolliver is introduced as a rival to Swearengen. In fact, Al is a bit rattled when Tolliver comes to town. As time goes on, however, Tolliver's threat is significantly diminished. He's mostly limited to terrorizing his prostitutes and toadying to Hearst.
What an Idiot: Flora and Miles seem to be building a cunning plan to rip off the Gem and the Bella Union. Then Flora just makes a flimsy pretext to grab a fistful of Joanie's jewels and make a run for it. She fools no one and the plan is a spectacular failure.
Reverend Smith. No one takes him seriously from the start, but at least he has God - then it's suggested that his intense feeling of being loved by God is a symptom of the brain tumour that's causing his fits. Then his body starts falling apart and he starts to hallucinate.