Count Olaf: I must say, you're a gloomy looking bunch. Why are you so glum?
Klaus Baudelaire: Our parents just died.
Count Olaf: [nonchalantly.] Ah, yes. How very dreadful. Wait, let me do that one more time. Give me the line again while it's fresh in my mind.
Klaus Baudelaire: Our parents just died?
[Olaf pretends to be shocked.].
In the scene where the Baudelaires and Aunt Josephine are looking in the photo album, Violet turns a page. You can see the photo Aunt Josephine does not want the orphans to see, but when Violet turns to the next page, the same photo is there.
If you look at the poster advertising the play "The Marvelous Marriage," you'll see it was written by Al Funcoot. "Al Funcoot" is an anagram of Count Olaf. This is a common theme in the Lemony Snicket Books.