Awesome Music: American pagan folk artist S. J. Tucker has created two CDs of absolutely stunning songs to accompany the books, with Ms. Valente's blessing. You can find them here and here (warning: the first song on the second album contains major spoilers.)
Counterpart Comparison: Ragnhild, the Black Papess, self-styled "the first of her name." Long, white-gold hair, considered exotic and beautiful by all who see her, seeks the rulership of Al-a-Nur on a claim that is centuries old, wears manacles to show that she does not forget her enslaved past, is full of passion and vengeance but little experience in ruling... sounds a bit like Daenerys Targaryen, the white-haired queen from Across the Sea, a figure of exotic mystery to both Essos and Westeros, who (in the show at least) wears a slave's collar to show her identity with her freed subjects, and wants to take Westeros "with fire and blood" but has no experience in ruling.
Fridge Brilliance: The four books evolve around a set of harmonious themes: "Steppe" is about birth and metamorphosis; "Sea" is about travel and finding your passion in life; "Storm" is about death and sacrifice; and "Scald" is about healing and life-in-death.
The revelation of the girl's identity.
Genius Bonus: Practically nonstop. Catherynne M. Valente was a medievalist scholar, and a little research into monsters and mythology of the medieval period will reveal how many creatures she borrowed from preexisting stories. Like cyclops that are at war with griffins, dog-headed men, people with one giant foot, goldfish that can turn into dragons if they swim over a waterfall (Japanese myth, along with polite kappas and fox-women), even huldras. Yes, one-third girl, one-third cow, one-third tree? Authentic Germanic myth!
There are even references to a Catoblepas and a Yale. How obscure can you get?
Heartwarming Moments: In the epilogue: "Your name is Sorrow, my little bird, my dear as diamonds, and you have been loved all your days." Really, the epilogue becomes nonstop Heartwarming towards the end of it.
Nightmare Fuel: Gholod at the end of the tale of Maciej and Malgorzata: "I saw him, and I hungered." Spine chills, right there. And, just a couple pages later: "I wonder what you will look like when you have passed through me?"
All of Marrow. Especially the Mint.
Woobie: The Manikarnika, Itto, Hind, Zmeya, the girl herself and many more.