The Miserable Mill by Lemony Snicket

This book, fourth in the series, changes things up a bit by putting the Baudelaire orphans with another most unsatisfactory guardian, whose name we never learn (it's apparently unpronounceable). The children are forced out of their comfort zones (Violet must do research, Klaus must invent, and Sunny fights a duel) and realize that despite the string of bad luck which follows them wherever they go, they really are quite lucky.