At first it seems kind of strange that the author would have a second set of villains in addition to the Nazis, who operated in a very similar manner, but with a different ideology...then it hits you that they're the Communists, and the whole world is basically pre-WWII Germany.
Nightmare Fuel: The reason why owlets captured by St. Aggie's never grow proper wing feathers. They use vampire bats to suck out their blood every month. To say nothing of all the Mind Control used by them and the Pure Ones.
Some of the Family-Unfriendly Violence, which is often described in rather graphic detail. Particularly in The Hatchling, where Nyra rips out and eats another owl's heart, which is so traumatic it makes Nyroc do a full-blown Heel–Face Turn. If there is ever a sequel to The Movie, the developers will be hard-pressed to keep it PG.
Painful Rhyme: The songs and poems can sometimes have these, and Twilight's in particular are downright agonizing. Doesn't help that they tend to suddenly switch the rhythm and meter mid-song.
Tear Jerker: Numerous. The notable examples have to be the death of Soren's parents and "The Snowy Sisters" short-story as a whole.
What Do You Mean, It's for Kids?: There are some extremely gory injuries described in the series. To elaborate: The very first book contains attempted fratricide, brainwashing, child enslavement, some fairly graphic violence, and cannibalism.