POSSIBLE SPOILERS. I'm not certain, but I'm pretty sure I avoided anything big. Just in case, though, here's your warning.
Some parts of I Am Not A Serial Killer and Mr Monster scared me, specifically the aspects that had to do with John's sociopathy. I think this might be because I share a hobby with Dan Wells, that of researching serial killers, and I've read countless stories and essays and psychological evaluations of real serial killers. What they have done, and what they are capable of, is scarier to me than any monster or supernatural creature.
I don't read a lot of horror, specifically for this reason - when I read horror, I want to be scared. I want to be dreading every turn of the page for the terror that might be unleashed as I continue. Most horror doesn't scare me for the above reasons; supernatural elements, etc, simply because I know they are not real. Serial killers are real, and they can be almost anyone. And that's what I find terrifying.
IANASK and Mr Monster, and the third book, Full of Holes (which I haven't read yet), would be more properly classified as psychological horror. Not because of the supernatural elements, but because of the point-of-view/protagonist character. John Cleaver is a sociopath, and completely capable of becoming one of the people both he and I have researched extensively, completely capable of committing acts like Jeffery Dahmer, Denis Radar, Jerry Brudos and every other serial killer that has come before. A good deal of the horror comes from watching John, experiencing through him the bloody and brutal urges he suppresses, and wondering whether or not he is going to succumb.
That's one of the things that makes Dan Wells' writing so fantastic, I think - the reader is made to care for this character who they cannot empathize with because he has no empathy, and made to care for him very quickly in the story. And because we care about him, seeing him struggle with his murderous impulses and psychopathic desires, we begin to fear he may succumb. For me, this is where much of the horror came from - to combat this demon, how much of his darker side will he unleash? How far will he go? Even if he wins, will it overwhelm him and cause him to lose himself to the monster within?
And if he falls to his inner demon... how horrible will the acts he perpetrates become? There is a scene in the second book, which I won't mention the detail of in any way, that terrified me because of this fear for John. Psychological horror is the perfect way to describe this book, because it's not the gore or the violence that's scary, it's the characters themselves. Their fears and beliefs and emotional instability are what drive the tension up, not the fear of the next body to be found.
This started off as just a response to ryos' post, and seems to have developed into a semi-study/review of the book itself. I loved it because it managed to do what no horror has managed in a long time. It scared me, and I loved it. I can't wait to get my hands on Full of Holes.