Complete Monster: Lord Straff Venture is introduced in The Final Empire as a brutal noble ready to commit all manner of evil things he thinks will help cement his power. He is utterly okay with systematically abusing both of his children to force them to conform to his standards. In The Well of Ascension he allows an army of monsters, known for their ruthlessness and utter lack of mercy, to attack an enemy city lowering its defences. He later decides to allow the entire city to be destroyed, concluding he only cares about the Atium rumoured to be hidden in the city.
Darkness-Induced Audience Apathy: At the beginning of The Hero Of Ages Ruin has returned and is poisoning the minds of everyone with a Spike, the Mists are slowly starving the already paltry crops of the empire, the inquisitors have an army of 300.000 koloss, and the entire world is slowly being smothered in ash. Happy days.
The Lord Ruler, in the way he manipulates the nobility and obligators and especially post-mortem when it becomes obvious all the plans he had in place for the event of his own death. Pity for him that Kelsier is more magnificent than he is.
Kar and Bendal, who manipulate the hell out of the Obligators, and even have their own subplot about how their scheming is screwing over the heroes.
Nightmare Fuel: Where to start? Inquisitors, Kandra, and the rampant rape and murder of skaa women are just a few examples from the first book alone. Also, Hemalurgy in all its applications - the Kandra actually turn out to be its least scary manifestation.
Paranoia Fuel: Consider the Big Bad's ability to alter written words and how powerful that is. This very book series could have been changed by him. In fact, you're reading right now. These very words could be the words of an evil god, working to manipulate your thoughts. I am everywhere.
RPG-Mechanics Verse: The setting and magic systems in particular have drawn comparisons to many RPG systems. The Lord Ruler combining Allomancy and Feruchemy to avoid the drawbacks of both had a particularly Min-Maxing feel to it.
So Okay, It's Average: While the story is very interesting, playing with, deconstructing, reconstructing, playing straight, and subverting any number of High Fantasy tropes, the writing style itself can be somewhat bland, and the author works a little to hard at being mysterious, planting several deliberate references to things yet unexplained, and pointing out how unexplained they are, as if to say to the reader "Hmm, isn't that mysterious? Don't want to keep reading to learn more?" He should thoroughly grab you by the midpoint of the first book, though, during the great, intense, pulse-pounding scene of Kelsier, Vin, and the Inquisitors.
Strangled by the Red String: Vin and Elend in the first book; Vin is willing to put her life at stake by taking on other Mistborn (something she has never done up to that point) against the explicit wishes of Kelsier and the crew for the sake of an air-headed nobleman after he snarked at her a few times at parties (made worse because it firmly contrasts her otherwise extremely suspicious nature). Fortunately, the sequels flesh it out a little.
Tearjerker: Preservation's death. Sazed's annotations say that if Elend had stuck around for a few minutes after the final appearance of the mist spirit, he would have seen the corpse of the man that Preservation once was form out of the mists before being buried in ash.
They Wasted a Perfectly Good Plot: Much is made in the first book about Kelsier not having enough time to personally train Vin, and having the other crewmembers (who are Mistings, and so can only burn one metal) teach her their specific metals. Vin quickly realizes that, in exchange for the versatility of being Misborn, the Mistings have learned to use their individual metals much more subtly and thoroughly than Kelsier had. Little ever comes of this, however, with Vin instead discovering duralumin, which lets her put super-duper oomph behind her Allomantic powers.
Believe it or not the koloss. They're made from a combination of five humans, so they know they were human once, but just can't remember what it was like. They desperately want to be human, but everyone treats them as inhuman monsters because technically, they are.
The kandra experience loads of Fantastic Racism, and some of their masters use them as punching bags because while they feel the intense pain, they can heal.