Alas, Poor Scrappy: Atticus privately mourns Fjalar, whom Brighid incinerated. It's very hard for readers to feel sorry about it though, given what he attempted.
Alternate Character Interpretation: Hearne takes quite a few liberties in his interpretations of several mythological characters including the Celtic gods Aengus Óg and Brighid. The worst is Thor who goes from one of the most heroic gods in all of mythology and protector of mankind to a sadistic sociopath.
Author's Saving Throw: The scene in A Prelude to War where Granuaile beats up Loki. It was probably meant to make her more likable but it comes so out of nowhere it's hard to take serious.
Critical Research Failure: Susannoo and Shango are among the gods named as having been tricked by Thor into not having their stories written down and largely forgotten by the modern world. But Susanno's stories were written down centuries before the Prose Edda was compiled and he has served as a major figure of Japanese religion, art, and culture from ancient times to modern day. The same for Shango in regard to west African cultures and modern religions like Santaria.
In the very next book, Shango appears and is described as "quite beloved by [his] people", so this was likely an instance of Unreliable Narrator on Perun's part, who said the above.
Darkness-Induced Audience Apathy: There have been a few complaints to this effect. Atticus, while firmly on the side of good, is more than willing to let a few crimes fall by the wayside in the service of what he views as more significant goals and many many of the gods operate on Jerkass Gods, and get away with it mainly by virtue of being gods.
Aenghus Og drawing on so much power to open a portal to Hell that it kills the surrounding Earth for like twenty square miles. As a Tuatha de Dannan, Aenghus Og is a druid whose tattoos connect him intimately to the planet. Atticus does not take it well.
Hel showing up in the body of the recently deceased widow Mac Donagh. Another case of It's Personal for Atticus.
Nightmare Fuel: It isn't shown, but Coyote mentions getting eaten alive by Garm, alive and conscious the entire time.
The Scrappy: Granuaile in Hunted and, to a lesser extent, Trapped. She is incredibly vain, plays Tsundere right after the love of her life returned from the dead and acts as though most other people don't deserve her company. She gets better in Shattered, but not by all that much.
Take That, Scrappy!: In Staked, Laksha finds herself in the body of a woman who is abused by her entire family. Granuaile tries to shove her ideals down Laksha's throat like she does with everyone else and finds herself harshly rebuked and asked an Armor-Piercing Question because no, her ideals aren't universally accepted. Doesn't help, but oh well.
What an Idiot: Atticus gets neck deep in trouble thanks to his Honor Before Reason insistence on helping Leif and Gunnar, in defiance of more than two millennia of running away from fights he doesn't know for sure he can win and the warnings of the Morrigan and Jesus (who is omniscient, or at least close enough for it not to matter) that it would be a monumentally bad idea. He goes through with it anyway, and things go tits up fairly quickly. He's managed to piss off two and a half pantheons (The Norse and the Romans, with the Greeks getting involved only out of solidarity with the Romans), with another (the Tuatha de Dannan) using him as a betting chip for their own ends. A whole slew of thunder gods from just about every pantheon on Earth would have his guts for garters given the slightest inclination (they tend to take exception to lowly mortals killing gods, even if no one likes the Norse). By the time he actually wises up and ditches Leif, Leif runs off and tattles to the vampire nation, who have allied with the Norse Dark Elves to finish off the last remaining Druids due to an unconnected grudge. And things are just getting started.
The Woobie: Surprisingly enough, The Morrigan. She hated being a Jerkass God, but all of her attempts to change herself were met with abject failure, so she ultimately let herself be killed.