One thing that never seemed to get covered in the film was the secret society that several members of the children’s family belonged. What was this society? I was kind of hoping they would go into it beyond ‘there are good people and bad people’, but considering it was based off a children’s book, maybe that would be asking for too much…
I haven’t seen the movie, but in the books the secret society is called VFD.
What VFD stands for is anybody’s guess. Throughout the series we’ve learned a little more about the organization, but not enough to say just what it is.
I can answer this, most likely correctly, but involves huge spoilers. Do yourself a favor and read the books, it should take you about 2 weeks to read all of them. If you want more let me know and I’ll throw some stuff in here in spoiler boxes.
Read the books - that was one of the many, many, many things the movie totally messed up.
Okay. Because when I saw it, it was like dangling a huge carrot in front of my face. Now I’m dying to find out. I’ll check out the books at the library this weekend! 
Just so you know, they don’t really explain much until the last book or two. Until then it’s more a source of mystery and conjecture. But they are very quick reads, and lots of clever stuff buried in there that you can’t really fit in the films.
Don’t forget to grab the Unauthorized Autobiography of Lemony Snickett and read it around book 9 or so. It will have some clues that you will stumble across in the later books that you wouldn’t be privy to otherwise.
That movie ruined any interest I had in reading the books. For all the special effects and pre-release jazz, I was sorely disappointed.