Neverwhere/YMMV

Alternate Character Interpretation: The ending of the book is ambiguous: either Richard decided to return to London Below and went with the Marquis or the whole thing drove him kind of insane and he just imagined that happening because he couldn't deal with London Above anymore. Given how Gaiman tends to avoid that kind of twists, it's still probably the former.
Complete Monster: Croup and Vandemar. And Islington. Hell, even Croup thinks Islington has "travelled so far beyond right and wrong he couldn't see them through a telescope on a nice clear night."
High Octane Nightmare Fuel: Neil Gaiman the Nightmare Fuel Station Attendant strikes again. Croup and Vandemar in particular.
- The fate of poor little Anaesthesia comes to mind. Although, oddly, the possibility she may return someday is discussed.
- Richard's Ordeal of the Key. Made even worse if you are a supporter of the "Richard is insane" theory.
Les Yay: Hunter and Serpentine are implied to have been lovers in the past - a time apparently remembered fondly by both women.
Magnificent Bastard: The Marquis de Carabas would be one of the defining examples.
Moral Event Horizon: See Villainous Breakdown on the main page. Also explicitly stated by Croup - "He's travelled so far beyond right and wrong he couldn't see them through a telescope on a nice clear night."
Special Effects Failure: The miniseries' Beast of London bears a striking resemblance to a cow with a fur rug thrown over it.
Uncanny Valley: In the TV adaptation Islington's eyes are covered with black contact lenses. When you first see his face you can see something is ever so slightly wrong with it, but it's difficult to tell what. It's made very obvious after The Reveal though.
The Woobie: Anesthesia. She never had a father, her mother went insane, and she was raped by her aunt's boyfriend. On her eleventh birthday, she told the aunt, who didn't believe her. She either ran away or was kicked out (I don't remember). She wound up in London Below. Eventually, the dark took her.