The Alloy of Law/WMG

Bloody Tan had a Hemalurgic spike
Bloody Tan can somehow move fast enough to shift Lessie into the path of Wax's bullet, either through Feruchemy or Allomancy, but Wax gives no indication that Bloody Tan had any powers. He also claims to have seen Death and that "Someone else moves us." Both are references to Marsh. Marsh spiked Bloody Tan, then used duralumin enhanced emotional allomancy to take control of him to ensure Lessie's death. But why, you ask, would Marsh want Lessie dead? To ensure that Wax goes back to Elendel to stop the Vanishers. Marsh wagers that Wax wouldn't leave the Roughs as long as his wife was there, so he removed her from the equation.

Wax's earring is a Hemalurgic spike
It gives him a direct path to speak to Harmony (who normally gives vague advice because his attention is elsewhere), in addition, it gives him the ability to burn Pewter. He never tries to do so actively, so he doesn't even know, but on misty nights when he has his earring in, such as at the climax, he draws in the mists themselves for extra vitality and energy to keep going despite massive injuries. This is possible only because Ruin and Preservation are merged into one being, hence the spike not preventing the mists from entering him.
 * I've just come home from Brandon's book signing here in Vancouver, and I asked him what the earring was made of, he wouldn't tell me what metal it's made of, but he DID say it has a slight hemalurgic charge.
 * My theory is that it's a re-used Koloss spike and the bind point in the ear gives only minimal effects. It seems that all of Harmony's worshipers have one, and there's no way he murders enough people to make new ones, but there's literally over a million left over, and even if only one of the four spikes is suited for this use that's still a lot of spikes.
 * Actually he wrote in my book that it's part of a re-used Inquisitor spike that was melted down and reforged. You could get a lot of little earrings from those great big spikes in the Inquisitors.

Wax's earring was given to him by a Faceless Immortal: TenSoon
Because, why not?
 * haha it was actually given to him by MaeLan (not sure of spelling) according to Word of Brandon.

The Ars Arcanum is written by Hoid
It's written in a first-person point of view, not an omniscient narrator. On the other hand, the writer has knowledge of things from other worlds. He compares Allomancy to the form-based Investitures from Sel, presumably he's speaking of the Awakening found in Warbreaker. So far, only one character has appeared in all of Sanderson's main works, and that is Hoid. Therefore, the Ars Arcanum was written by Hoid.
 * Actually FYI Sel is the world of Elantris. Also I think it was written by one of the members of The Seventeenth Shard, a group mentioned in The Way of Kings that seems to consist of worldhoppers.
 * Investiture is a word used by The Seventeenth Shard to describe magic's effects and power across universes, so that points to them.
 * We aren't actually sure of that. Although we have a vague idea what investiture is, we have no specifics, and Brandon has explicitly stated he won't answer any questions even vaguely related to it.
 * Also, members of the Seventeenth shard appear in The Way of Kings, and Galladon (an Elantrian) and Demoux (from Scadrial) are two of them. It's quite possible they wrote the respective entries in the Ars Arcanum.

The Ars Arcanum is written by Odium from The Stormlight Archive
Similar reasoning above, but with the additional note that he takes a peculiar interest in Hemalurgy. Although he tries to defend it as not necessarily evil, it seems like the reasoning someone trying to sound less evil to observers would use.

Bloody Tan is an Atium Misting
He managed to move Lessie into position for the bullet to hit her head. Short of steel compounding, Atium is pretty much the only way to do that, and if he were compounding steel he'd presumably have enough left to dodge. Atium, however, could do it and burns quickly enough he could easily have run out. Furthermore, it would help explain how he murdered the dude posed as flying, presumably a Coinshot, despite allegedly only using knives. Now, you might object that all the Atium is gone and the Pits are non-functional, but Kelsier said he'd ended Atium production for "hundreds of years" and it's been hundreds of years since then.
 * This has now been Jossed as of Brandon's Q&A on Twitter. He did say that asking if he as a Seer was a good question though,which makes me think there's definitely more going on there then is obvious.

Any bullet that kills someone by being fired into their heart becomes a hemalurgic spike
OK, not any bullet, it has to be of an appropriate metal such as the steel ones that Wax uses. Steel bullets would steal Allomantic physical powers, Aluminum bullets steal Allomantic enhancement powers. Let's just hope no one finds out.
 * Well we know the heart is an appropriate point to drive a spike through to steal the ability to burn steel, as Ruin tried to get Spook to impale Beldre through the heart to get another spike in him, so that definitely works. And yeah, that could get messy.
 * I've asked at a book signing and the verdict from Word of God is that it would not matter so much where the bullet hits so long as it does kill.

Bloodmakers can be killed with a single bullet to the heart
All you would need is the correct metal to hemalurgically steal their ability to heal. It just depends on whether they need to be dead for the bullet/spike to steal the piece of their soul, it's a bit of a chicken and egg scenario. Perhaps it won't work until the bloodmaker runs out of healing anyway.
 * Word of God says that a single bullet 'could' kill by stealing the healing ability. He said that death is normally a prerequisite of stealing a power so a blood maker who is still healing should be immune, but the bullet will still damage the soul and interrupt the healing. Basically it could work by cheating.

Wax's sister is a Connector / Duralumin Ferring
Duralumin stores one's spiritual connection with others, reducing other people's awareness and friendship with them while storing. Wax notes that he never had a close relationship with his sister, but

Hoid is dead by the time Alloy Of Law happens.
We don't know the relative timeframe of the other Cosmere books so far, so it's possible that they all fall within a normal lifespan. Alloy Of Law is explicitly set 300 years after to original Mistborn trilogy, and it's the only one with no mention of Hoid.
 * Per Word of God, Alloy takes place somewhat before Way of Kings, so Hoid is definitely still alive. Word of God has also said that he's lived longer than a normal human lifetime. Check out 17thshard.com for a place where you can find links to a lot of this background info, mostly in interviews.
 * Also, the scruffy guy in black at the wedding dinner was Hoid, he wasn't as involved in events this time as what's going on in Alloy isn't really that important to the overall story, he's basically just there for the cameo and so that the people at 17thshard didn't drive themselves nuts looking for him.
 * Since Hoid is confirmed to have been present at the Shattering of Adonalsium, which according to word of Brandon happened thousands of years in the past, then he has some form of immortality (and given his presence in the Liar of Partinel, may well be the oldest living being in the universe). So no, he would not be dead even if he wasn't present in the book.