Growing the Beard: Pratchett's writing style noticeably evolved from the first book, setting the series on its way to what it later became. The biggest examples are Hrun and Liessa compared to Cohen and Herenna. The former pair parodied stock fantasy roles by playing straight into them, while the latter have clever twists on them.
Death too - less vindictive, more just doing a terrible, necessary job.
Death: The death of the warrior and the old man and the little child, this I understand, and I take away the pain and end the suffering.
Jerkass Woobie: Rincewind, who's been acting like a jerk in the previous novel, but here we get more depth into why he is the way he is.
Rincewind: I can't remember all the other spells, they're afraid to be in the same head as you!
Nightmare Fuel: The introduction of the star people is shockingly creepy, dark, and unsettling compared to the usual quirky villains.
Even Death finds them rather creepy. He can't understand the "death of the mind".
Even though the Eldritch Abomination that possesses Trymon gets little screentime and gets defeated more easily than one might think, Rincewind's realisation of what he's facing is positively Lovecraftian:
Rincewind stared, and knew that there were far worse things than Evil. All the demons in Hell would torture your very soul, but that was precisely because they valued souls very highly; evil would always try to steal the universe, but at least it considered the universe worth stealing. But the grey world behind those empty eyes would trample and destroy without even according its victims the dignity of hatred. It wouldn't even notice them.
Trymon's last human words before his final transformation are, "Help me!"