Awesome Music: The music in this series is very beautiful and sets the mood of the game very well. The Collector's Edition of Dark Flight and Trail of Shadows actually allows you to listen to the soundtrack on its own.
Nightmare Fuel: The Kite Boy and the old man who lives in the house in one of the paintings in Drawn: Dark Flight. The characters themselves are very benevolent, but before you realize that, simply seeing them is rather unsettling.
Right after you complete the play in The Painted Tower, the tower's gradual collapsing causes that particular painting to be destroyed, so that you can't visit it again and the delightful characters inside are possibly lost forever.
Franklin's statue breaking in Dark Flight. He can still be saved and it doesn't affect how helpful he is in the slightest, but it was rather upsetting anyway.
