Big-Lipped Alligator Moment: The two "What Happened in the Night" chapters. Aside from the Arc Symbol of the wind-up bird, it has no obvious connection to the rest of the novel and it's not even clear when or where it takes place or whether any of it is even actually happening.
Ensemble Darkhorse: May Kasahara, Lieutenant Mamiya, and Ushikawa are all very popular despite being side-characters. Boris the Manskinner is also highly memorable despite only appearing in 2 chapters.
Epileptic Trees: None of the bizarre events that happen throughout the book are ever explained. Not in any satisfying way anyways.
Magnificent Bastard: Boris the Manskinner's entire power grab in the Soviet gulag establishes him as one.
Marty Stu: Cinnamon comes across as one due to his complete lack of any flaws. Not even his inability to speak is any sort of handicap to him, as when he moves his lips people can just understand what he says anyway.
Nightmare Fuel: The entire "Boris the Manskinner" sequence. His final scene in the gulag also counts, as when Mamiya tries to shoot him at point blank range the bullet hits the wall behind him and he subsequently implies that he can't be killed, before passing his curse on to Mamiya so that he dies old and unloved.
Squick: You really don't want to know how to skin a person alive.
Noboru Wataya's incestuous crush on his older sister. Kumiko literally walked in on him masturbating to her underwear after she died. And it's heavily implied that he has the same sort of feelings for Kumiko, which adds a whole new level to her apparent captivity in the hotel throughout the novel.
Creta Kano's entire backstory, for starters. First she was afflicted with crippling, chronic pain over her entire body for as long as she could remember, and then she was forced into prostitution by the Yakuza.
Lieutenant Mamiya's lingering trauma from World War II. He says that he feels his soul died down in the well in Mongolia and that he's just been moving through life as a ghost ever since.
Kumiko's letter to Toru where she explains that she left him because she hates herself and feels he doesn't deserve to be burdened with her. Their later conversation over the computer where she encourages him to forget all about her but he refuses to and swears to find her also counts.
The Japanese soldiers shooting all the dangerous animals in the Chinese zoo during the final days of World War II.
The Woobie: Mamiya, Creta Kano, and Kumiko are the biggest ones, but Toru and Nutmeg also have definite elements of this.