The book's title itself. The Knights' powers come from the Tenebrae, the shadowy world where the Tenebrous live, so they're essentially borrowing the magic to fight—thus, Knights of the Borrowed Dark.
Tenebrae festival was originally celebrated after midnight, lasts three days, and is characterized by the gradual extinguishing of candles. This is referenced in the book by Denizen's birthday taking place twenty-three minutes past midnight, the chapter titled “Three Days” (chapter 10), and the candles that light Seraphim Row. The candle extinguishing might be referenced by Denizen's Dawning, which caused all the lights in the room to flicker out, or by the Clockwork Three destroying the candle-wards later in the book.
Another meaningful name: Os Reges Point, where the Knights can speak with the Emissary of the Endless King. Reges is a Latin word for king and os means mouth... but it can also meanbone. So Os Reges Point is a wordplay that can mean “mouth of the King” or “bones of the King.” Fitting, given that the Point is the body the Endless King left behind from when he Breached.
The Three have their thrall build a cage to keep the mercy in, but cages are generally only used for animals and human prisoners. Well, of course, since Mercy is a Tenebrous, not an object!
The Endless King doesn't want a war... but seems perfectly willing, even eager, to start one and burn the world if the Order doesn't find what was taken, even after he finds out they didn't steal it. Why? Because he's missing his mercy!
At first, the deal Denizen strikes with Mercy seems unnecessary. The Order didn't kidnap her, and she knows it was the Clockwork Three, so it seems trivial for Denizen to free her with the bargain being just telling the truth... But actually, there was technically someone from the Order involved, and that complicates things. So Denizen frees her in exchange for not mentioning Grey.
The Clockwork Three love suffering and feed off misery, so Grey being extremely kind to Mercy doubled as a great way to spite them.
Historically, knights typically served monarchs. Turns out the Order was founded by a King.
Palatine is a Latin word referring to things relating to a palace, and also is the term for a high-rank official sometimes associated with courts. A country palatine is an autonomous area of land that is still very much in allegiance with a king... which was basically the Order's original purpose.
Closer to Fridge Depressing, but Grey has been a Knight for thirteen years. And he's only in his mid- to late-twenties. For reference, Vivian freaking Hardwick has been fighting for almost twenty years, and is probably in her forties or older.
This means he's probably known Vivian since he was a late teen, and Greaves since he was even younger.
Mercy's cage. It's made from iron fillings from Knights, possibly from the hands of Vivian's comrades who died eleven years ago. That would mean that the Three kept these people's hands (or more) around for years while they waiting for Denizen to turn thirteen. Ick.
It gets worse. The Clockwork Three didn't build the cage, Grey did. Grey had to build a cage using iron from the hands of people like him, who died during a process that he somehow managed to survive—and they have been dead for eleven years.
Thralldom. The word can mean enslavement, or mental and moral servitude, which is horrifying in and of itself... and given the context in the book, it seems the latter definition was taken very literally.
The heavy implication that the Clockwork Three punished Grey for his disobedience in letting Denizen go, eventually leaving him alone in the rain outside Crosscaper, looking utterly broken and waiting for Vivian to kill him. He's explicitly described as looking "like a discarded toy".
Grey: They were so angry. And quite specific.
That last line could easily imply that the Three forced him to punish himself.
The Croits live isolated from the Outside, violently hate other families, and believe their blood is special and sacred. So how has their family grown so much? The fact that they all look almost exactly the same—including having hair that's already greying by the time they're thirteen—really doesn't dissuade... certain conclusions.
The Clockwork Three seemed to be one being in three forms, but The Forever Court reveals that the Woman in White and the Opening Boy used to be separate Tenebrous before the Man in the Waistcoat forced them to change into what they are. What did he do to force that?
Denizen sees either stars, faces, or turning cogs in the Opening Boy. While the cogs fit with the Clockwork Three's motif, the Boy wasn't originally part of the trio... and is apparently every child the other two have ever hurt. Maybe it was faces...
The possibility that Ambrel is still alive is actually horrifying when you think about it. The waters of the Tenebrae freeze your mouth and insides, and put the fire in your chest out; if she's in there, she doesn't have food or water or oxygen; and she was snatched by a Tenebrous, so who knows what it might do to her.
