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.)
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.
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.
Jerkass Woobie: Ragnhild, Dinarzad and the Ash Queen. All three of these women feel powerless, like pawns of forces out of their control. And they're not wrong. So they lash out.
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?"
The Woobie: The Manikarnika, Itto, Hind, Zmeya, the girl herself and many more.
and here