The "meteors" the aliens arrive in. It's like hellfire raining from the sky.
That bit at the police station? Where one of the dead aliens turns out to be alive? Okay, so they needed intelligence, and it'd help to have an idea where to shoot at the alien physiology. Still, dragging a dying soldier into a building, and having a veterinarian and a corpsman try to identify organs by tearing away strips of flesh and skin with their bare hands, stabbing anything that looks interesting with a combat knife, and making comments while video-taping it. Important tactical data, little time, they invaded and started slaughtering civilians wholesale first, but still. Vivisecting anything with a combat knife and bare hands is a little horrifying, especially when you consider just what the E.T.s might be doing with anyone they've dragged off....
What about those...noises the alien made during all of that? You can tell the thing's in pure, hellish, burning agony.
The irony, of course, being that the alien is in that hellish, burning agony while the marine in question is trying his hardest to kill it quickly and efficiently.
Made worse, during the first batch daylight combat. Obscuring smoke haze everywhere, noise from pets and vermin running around, and the aliens were really good at going from ground, to five stories up, and back without anyone noticing...Or suddenly having a couple dozen spread out over multiple roofs and streets with little to no build up, which is worse. Little warning, unless they're bringing in drone air coverage. Also, that marine wasn't the only one who jumped when that out-of-scene laundry machine started up, sounding like one of the alien energy weapons.
The opening salvo when the aliens first come ashore. The first explosion you see on camera lands in the middle of a clump of fleeing beachgoers. Even from the distance the helicopter is at you can see bodies get tossed about twenty feet in the air by the explosion before falling back down.