I liked when Pythagoras randomly shows up at the end for a rant on vegetarianism. (After reading stories about people turning into animals it kind of makes sense)
I agree the Icarus story was very vivid and emotional. It does sound kind of cliché, but it really was one of the best stories in the book.
I really loved The House of Sleep and the House of Rumor.
And the king who had a single lock of purple hair that made him invincible.