High wave-vector spin waves in ultrathin Fe/W(110) films up to 20 monolayers (MLs) thick have been studied using spin-polarized electron energy-loss spectroscopy. An unusual nonmonotonous dependence of the spin wave energies on the film thickness is observed, featuring a pronounced maximum at 2 ML coverage. First-principles theoretical study reveals the origin of this behavior to be in the localization of the spin waves at the surface of the film, as well as in the properties of the interlayer exchange coupling influenced by the hybridization of the electron states of the film and substrate and by the strain.