The monsters in DW1 are composed entirely out of sprites. And they're pretty cleverly designed in order to use as few tiles as possible--for example, the Slime consists of just three 8x8 tiles in CHR ROM. Its right and left halves are the same two tiles just flipped horizontally, and the highlight on one side of its body is a separate tile.
The monsters in DW2, DW3 and DW4 are drawn mainly on the background, but they use sprites for some details (eyes, highlights, etc.) in order to exceed the limit of 3 colors per 16x16 block. Notice that large monsters "break up" when they flash when taking damage--the flashing of the BG and sprite portions of the monster isn't quite in sync.