The title song in Cabaret has always been an emotionally loaded number, but after the death of Natasha Richardson, who played Sally in the 1998 revival, it's almost physically painful to listen to, especially in the verses about Elsie.
The harshness of that song goes back even earlier: Liza Minelli, who won an Oscar as Sally, struggled with drug addiction in real life. The song Cabaret glorifies dying of an overdose as going out with a bang, so to speak. When Minelli performs the song in concert today, she actually changes the line, "When I go, I'm going like Elsie," to "When I go, I'm *not* going like Elsie," to make it less depressing.
In Christopher Durang's "Beyond Therapy," Prudence asks Bob, who is a pharmacist, "What exactly is in Tylenol, anyway?" Shortly after the play opened, several bottles of Tylenol were contaminated with cynide in the Chicago area, leading to the tragic deaths of consumers.
There's a song strictly in the musical version of The Lion King, called Endless Night. The song tends to be quite creepy, and ridiculously heart-breaking when you realize the man singing this version, Jason Raize, proceeded to hang himself at the age of 28.
Watching Alan Cumming and Hilary Lyon act out the "Get thee to a nunnery" scene from Hamlet is just...odd now, as they were married at the time but now aren't.
Edward Rochester's (of Jane Eyre fame) attitude towards women is problematic at the best of the times, but The Musical makes matters worse: the actor who originated the role (and thus the one on the cast recording) would later be arrested for statutory rape. This gives certain lines in songs like "As Good As You" a creepy (creepier?) subtext. Plus, when you consider that in the book Jane is a teenager and Rochester is middle-aged, well...
An example that doesn't have an event in real life mirroring it, (and played for comedy), the main antagonist of Sister Act, Shanke is singing about getting back his girlfriend after she saw him commit a murder. He uses the line, "When I find my baby, I ain't letting her go." The song is Lyrical Dissonance and sung to sound like a love song, but the verses following are actually about him drilling, shooting, stabbing, drowning, disemboweling, and giving "her skull a big dent with a blunt instrument". He repeats the line after each verse, (including the first, where he already establishes that he wants to kill her) but by then we get the point.
He also says it towards the end, but this time he says it threateningly.
Cirque du Soleil's KA has a lot of Spectacle involving characters seeming to fall, sometimes to their doom, from the two moving stages that create its various settings. Sadly, it was during the climactic Wire Fu sequence that a performer actually fell to her death during the late show on June 29, 2013. After going on hiatus for investigation, the show reopened July 16 with the scene in question cut. However the scene was later readded, but all the performers are projected onto the wall.