So basically I've been a fan of these books since I was 11. I first discovered them a couple years after he had started the series. Though I haven't read the last two books yet. :S
Interestingly there were only suppossed to be the first four books but I guess he thought that they were getting enough attention to get more into the series, that's why you start to see the plot thickening, making references back to earlier books, making things fit in with the whole VFD theme.
I really enjoyed the books, even as I got older and had to wait a year each in between books 7- 13.
Also a good read would have to be his Unauthorized Autobiography. It helps to connect a lot more in the series.
Yes, he defines words but if you'll notice he usually does it with certain words, some of them which aren't actually hard words but I think there's more meaning to that than just educating the young readers.
Yes, it's a "depressing" series. Yes, there are little rays of sunshine. I also think there's a reason for all of that.
Really I think there's a lot of hidden meanings and plots in the series that people just over look or don't want to dive into.
& I'm pretty sure the series was based in the late 1800's/early 1900's because of the things around the children, ie "automobiles", horse drawn carriages, remote mountains, carnivals, and the things they wear and the "justice" system.
Also good reads would be under Lemony Snicket's real name, Daniel Handler.