Complete Monster / Evil Overlord: Tengil from The Brothers Lionheart and Kato from Mioeven if Kato shows something that might be remorse or at least self-loathing right before his death.
Crowning Music of Awesome: The scores for most of the movie/tv adaptations. Mio, Ronja and Lionheart stand out though.
Ear Worm: The movies and TV shows have some insanely catchy music. The most iconic is the Pippi theme, closely followed by the Emil theme.
Of course, part of the reason why they love him so much can probably be attributed to Boris Stepantsev's animated cartoons from 1968 and 1970, which are regarded as classics to this day.
In the second Kalle Blomkvist (Bill Bergson) novel, the young sleuths have to deal with a genuine murder, a case the author handles with far more realism than Enid Blyton ever would have been able to do. It's a scary read when you are ten years old.
Tear Jerker: Take your pick from Ronja, Brothers Lionheart or Mio, really.
Some of her shortstories are sad, dealing with dying kids or with kids whose siblings have recently died (e.g Nils Karlsson Pyssling). But they may not have been translated into that many foreign languages.
Death comes for children, too, e.g. the seriously ill Göran in I skymningslandet, who may be dying from cancer, and the two poor orphan siblings Mattias och Anna in Sunnanäng, who simply refuse to go on living in misery.
The Woobie: In The children from noisy street, there's a little boy who's even younger and weaker than Lotta (the little girl), and it is stated that she can beat him up easily. When she's asked why she hits him, she explains: "Because he's so cute when he cries."
In fact, many of the young boys in Lidgren's books have brushes with Woobiedom. Skorpan from Brothers Lionheart is the clearest example, but there are several others. Curiously enough, the number of young girls who classify as Woobies in Lindgren's stories are far fewer in number.