First of all I thought that "A Series of Unfortunate Events" is a rather strange title for a series of children's books. But on the other hand, it's quite fitting.
I've bought the whole series of 13 books on amazon in a very nice box (it's part of my "luckily the state gave me my money back" action). I'm halfway through, too (volume 7, "The Vile Village"), but had to put a few other books in while reading. (I'm also still in the middle of "Neverwhere" by Neil Gaiman.)
And yes, just in case you wonder: I also read children's books when I think they're interesting. And especially for a writer analyzing the work of others on stories and characters, looking at children's novels (which usually are a bit less complicated) is quite educating.
What I personally like about the series is both the style of the author (I like his many 'definitions' of words in the text) and the fact that there's no "everything will turn out well and they'll live happily ever after" message in the text. Given the fact that most books for children end happily, that's a nice difference. And to a certain degree - if your definition of the word "happy ending" is "the main characters survive" - the stories do indeed end happily.