Souls
Souls are the essence of life, present in every living creature - even plants and fungi. Each soul regulates one's emotions, and the more life experience it has, the stronger and more valuable it gets. An isolated, bottled soul resembles a thin gas. No one's quite sure where they come from, but in the Neath, souls are ferried to the Far Coast by the Boatman after death, and in the High Wilderness they go to the Blue Kingdom to be judged by the Sapphir'd King.
Even such a crucial part of one's psyche can still be removed. Devils run the trade in souls, and are responsible for most incidents of soul loss. See, it's possible to live without one's soul, but the consequences might be severe, like loss of emotion or memory. Or they might be nothing at all, perhaps a feeling that something's missing. It is also possible, through the right means, to get one's soul back.
There are also a few ways to damage a soul without losing it - but what sane person would do that?
WORK IN PROGRESS
The Soul Trade
"In simpler times, Hell would take a soul on the death of the body. Death is more complicated in Fallen London, though not unknown. So it's not terribly uncommon to meet someone who's short a soul. Some of them become mumbling, dead-eyed husks: some of them simply turn to occupations where soullessness is a professional advantage."
"Souls are traded to Hell for brass, hydrogen, devilbone, earthly delights, rare coins and other things difficult to find in a department store. Trade without a license is punishable by - well, I don't want to upset you. Nothing you'll need to worry about. After all, you wouldn't be daft enough to engage in spirifage: the unlicensed trade in souls."

The soul trade is the legal, healthy, and widespread trade of stolen human souls.

After London's failed invasion of Hell in 1868, the devils established the Brass Embassy on Ladybones Road, and set to work collecting souls. They persuade, beguile, and charm people to give up their souls. They even trade with human spirifers, whom the Masters abhor.
Devils are very interested in unique souls, but if a soul becomes unique in the wrong way (for example, by being stained), most devils lose interest in it.
Losing one's soul has varying effects. Some become husks of their former selves, losing any ability to feel or love. Others just go about their business completely unhindered. At the very least, those who sell their souls willingly are often compensated handsomely. There are very few ways to regain one's soul; one must become very lucky when going over the day's spoils, or change fate to start a search for the soul. And whatever you do, don't ever sell a stained soul.
Spirifers and Shepherds
"A spirifer, strictly, is anyone who trades in unlicensed souls. But the word usually means the villains who prey on poverty and desperation, kidnapping children to relieve them of their immortal souls, wheedling them from gin-soaked paupers or snatching them from the mouths of drowned men."
"There's a healthy export trade in souls from Fallen London to Hell. But like all trade, it's licensed and overseen by the Bazaar. Spirifers are those rogues who bypass the Bazaar to sell directly to Hell. A soul may be a final desperate payment against a bad debt; it may be gambled unwisely; or it may be tricked from its first owner."

Spirifers are merchants who lack permission fromthe Bazaar to trade in souls. Most are humans, but a few may be devils. Their trade is called spirifrage; it is lucrative, but spirifers are often persecuted, especially by the Masters.
Spirifers often steal souls from the ailing or the foolish, and almost never with a person's consent. Stopping these villains is the Committee for Vital Restitution's top priority, whose shepherds work tirelessly to return stolen souls to their owners.
Soul-Loving Monkeys!
The Empire of Hands, in the far eastern Unterzee, is a colony of intelligent monkeys who have managed to acquire souls - several in one body, in some cases. Being monkeys, they still go overboard about it and think that more is better; social status is based on how many souls one has, and they actively acquire souls from smugglers as well as careless zailors.
Why Do the Devils Want Souls?
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Devils use souls to manufacture laws, both natural and legal. With enough souls, one could even create a new law of gravity, but that would be overriding the Judgements, which would be a bad idea. Most of this manufacturing happens in the factories of the Iron Republic, where laws are created and destroyed daily. Certain devils, such as those in Carillon, can refine souls through torture or by other means. Devils who are skilled in this practice, such as the Repentant Devil, are sought out by the Judgements.