Angst? What Angst?: Although whether he actually believes him so far is unclear, Yumeji's reaction to Hercules revealing that they are brothers is pretty nonchalant. Though he did have prior warning and time to think it over. Plus, it helps that Heracles was not speaking literally when he called Yumeji his brother. He was referring to Yumeji as his brother because he was alluding to the fact that the source of their powers, and thus energy "signature", were the same.
Awesome Music: "Daydream Syndrome", the anime's opening song, is pretty awesome.
Complete Monster: The seemingly-friendly guidance counselor Ryota Ijima and his Dream Demon "Mystleteinn" Treesea are vicious partners-in-crime who gratify their mutual sadism by implanting Dream Demons in the students Ijima counsels, whereupon Treesea butchers them and leaves the students as hollow, apathetic shells. Treesea previously establishes her nastiness through a vicious massacre, and Ijima glories in breaking the dreams of the students who trust him, even brutally beating one by kicking her head. In their battle, Treesea imprisons Merry in a bud of despair to drown her, mocking the subsequent failed Heroic Sacrifice as "worthless" as Ijima gleefully beats down the heroes himself.
Crazy Is Cool: John Doe's cat army. when fighting Heracles, they shoot cannonballs attached to steel cables to lock his arms, then surf them down while gunning him. You can't get much more crazy than that.
Epileptic Trees: At the very beginning of the manga we see a young Yumeji leading a girl his age through a nightmarish-looking place, telling her that he'll definitely find a way back home. They then reach a door but all we see after Yumeji opens it is his shocked expression. The girl he was leading had the exact same hairstyle, clothes, and hat as Merry, though we can't see her ears or eyes. Isana also mentioned that she felt as if she knew Merry before in the manga. Finally, there's a spread in the fourth volume that has human characters on one side, dream demons on the other. Merry's on both, and she has human eyes and ears on the human side.
Heartwarming Moments: When Hercules uses his power to resurrect the Nightmares he's killed—Engi's sister being the first—and have them fight Merry and co, they all refuse to move. Engi's sister even smiles at her before fading away.
Memetic Mutation: Vagina bones.Explanation A Fan Translation of Episode 7 of the anime had Yumeji ask Isana why she couldn't find "a swimsuit that shows off Merry's vagina bones a little better" (whereas the actual line was about a better swimsuit in general). The phrase became associated with a woman's pelvic bones.
Nightmare Fuel: It's a series about dreams, so this is natch.
Familiar Legion is especially bad. All the other nightmares so far had been recognizably humanoid or just cutesy cartoon character types. Legion is some strange mask and cloak hiding a grotesque insectile body, which we only get glimpses of - but that's plenty, thank you very much. He casts a "shadow" of multiple bodies, by which he may possess a group of people rather than just one, and when he turns his head he can twist gravity around. Finally, he can drop what looks like a slimy, translucent egg sac full of more, smaller versions of himself that explodes. Everything about him is either creepy, paranoia-inducing, or disgusting.
Lost in a world she knows she doesn't belong with, no memories of her home and no way to get back... yeah, Merry definitely qualifies.
The anime-only character, Chizuru Kawanami, also qualifies. She lost her parents in her younger days and as a result, she is unable to trust anyone and isolated herself from them. Not only that, she throws away her hopes and dreams and thus ended up becoming a vessel of a Dream Demon. When she pulled a Heroic Sacrifice with her dream demon, she then proceeds to lose her memories... poor girl, she needs a hug.
