Lyric discussion by JASGripen 

Cover art for Song of Joy lyrics by Nick Cave and the Bad Seeds

You are right about narrator/killer being the ame. The absolute worst part isn't the past, but it is what happens after the story ends. These lines are building something up:

"It seems he has done many many more "

"I am upon your step and you are a family man "

"Do you, sir, have a room? Are you beckoning me in? "

@JASGripen I always thought there was some kind of "warning" or "intimidation". In a way he told the story to induce pity in the "family man" so that he can be hosted. In another way, he's intimidating him, if you let me in you're beckoning the murderer in your house. It seems like a riddle in a cold night, and he gives the warning when he says: "Well, one night there came a visitor to our little home" I always thought it was strange, I know he's the assassin, but why instill a doubt in his host?...