The Reveal of Winter Soldier's identity and Cap having to fight him. It's no wonder why he goes in shock upon finding out. Imagine your best friend that has supported your whole life, was there when tragedy struck and when you were bullied, and who now doesn't even remember who you are, wants you dead, and will do the act personally.
There's something unsettling about how, when Cap first sees him with his mask off and calls him by his name, the Winter Soldier just growls "Who the hell is Bucky?" in a tone that makes it clear he genuinely doesn't know what the heck his target is talking about.
Arnim Zola's present day form as a vast computer inside what's supposed to be a munitions storage facility at Fort Lehigh, especially the way he appears on the old screens and his reveal of HYDRA's grand plan.
The way he talks with a slight echo and his face jerking up and down. Then, as a missile heads to obliterate him, Captain America and Black Widow, he talks calmly about his own approaching death. Bear in mind that this is is a man who, seventy years prior, was a coward that sold out HYDRA to save his own skin.
HYDRA's current form is paranoia inducing. Before, it was an easily spotted Nazi off-shoot attempting to prove their superiority by taking over the world. Now they are an international spanning network of various races and creeds, all believing that the world needs perfect order, no matter the mountains of dead and broken needed to build it. All while staying true to Schmidt and Zola's original ideals.
The fact that from the start SHIELD was a puppet of HYDRA. Moreover their targets included the President and Tony Stark, who they were milliseconds away from killing.
HYDRA's plan of making sure the world is desperate enough to sacrifice freedom for safety. And they were succeeding.
Seeing the algorithm uploading and targeting people. Hundreds of thousands of people. The number just keeps going up and up, and there are multiple satellite photos of entire city blocks covered with targeting symbols.
One of which was Stark Tower.
Pierce says that 20 million people are set up for execution, while trying to convince Fury to let the massacre happen. The calm way he says the figure is eerie.
And they said they reached "target saturation," not that they had locked on all targets. And, this was just in New York and Washington D.C..
He's talking fast, so it's easy to miss, but when Sitwell is naming all the kinds of people that the algorithm will kill, he says "high school valedictorian." That's right, HYDRA is targeting "potential threats" as young as high schoolers.
The police ambush of Nick Fury. The fact that all of those "cops" were sent to take him out prove just how deadly and serious HYDRA is about people meddling with their plans.
Nick Fury being injured at all can be pretty damn distressing, given his Magnificent Bastard tendencies usually mean he's on top of everything, and comes out unscathed.
HYDRA personnel kept shooting through civilian vehicles, completely careless of "collateral damage." The emergency rooms must be overflowing with injured and dead. You see this as early as the police chase, where assault rifle wielding cops will not hesitate to shoot through a stopped bus to fire on Fury's car.
The Stinger, featuring Quicksilver and Scarlet Witch in Von Strucker's custody, not quite sane and continuously using their powers, ending with a quick shot of Wanda using her magic destructively. Speaking of insanely powerful things in the hands of evil, did you ever wonder where Loki's scepter went? Von Strucker has that too.
The sheer scope of HYDRA's manipulations: seventy years of War for Fun and Profit. Two generations that grew up in fear of the atomic bomb, and a third that has grown up in fear of terrorism. All to make people scared enough to buy their rhetoric of The Evils of Free Will. It's like one of those "My entire life is a lie!" stories for the entire planet.
During the final Captain America vs. Winter Soldier fight, after being disarmed, the latter pulls out a knife. There's a split-second shot of him charging at the camera, an absolutely feral look on his face.
Really, just The Winter Soldier's character in general. Imagine having gone through such horrific ordeals and experiments, forced to act as a pawn for people who you would normally call enemies, unable to do anything about it. Essentially, Bucky was subjected to a Fate Worse Than Death.
The electroshock therapy that the Winter Soldier is subjected to, in order to wipe his memories of Captain America. Even worse, it's implied that this has happened to him multiple times. There's a point where you actually will feel sorry for the Winter Soldier.
Not to mention his flashbacks to everything that happened since his "death" as Bucky, and his transformation into the Winter Soldier. A brief moment in the flashback shows more of Bucky's arm being amputated, from his point of view. They did that while he was conscious. The fact that all of the flashbacks are POV shots from Bucky losing his arm and being dragged through the snow to catching a glimpse of his reflection as he's being frozen in the lab makes them extra creepy.
During the scene right before the electroshock treatment, the Winter Soldier looks mildly concussed and only barely lucid, and this doesn't seem to be too out of the ordinary considering Pierce's treatment of him. This looks less like active brainwashing and more like HYDRA was taking advantage of a man they intentionally brain damaged.
He opens his mouth to accept his mouth guard (so that he doesn't get injured when he bites down from the shocks) so passively, as if it were something he does on a routine basis. A number of people have pointed out that he starts to hyperventilate before the headpiece of the electroshock device is in place. HYDRA may constantly wipe his memories, but on some level he knows what's coming.
The way Pierce acts to him, first hitting him in the face when he doesn't respond, then talking to him quietly and comfortingly about what a help he's being to HYDRA. The Winter Soldier is quietly mumbling to himself about how 'he knew [Steve]', as though the memory damage has made him almost childlike.
Pierce walking away from Bucky's screams with no reaction — Bucky really is no more than an "asset" to him.
The Winter Soldier's theme on the score. It starts subtle and quiet, and builds into an distorted industrial cacophony culminating it what sounds like a scream of terror. This not only reflects the reaction people who know what he is have when fighting him, but also what it feels like to be, somewhere in Bucky's real mind.
Winter Soldier showing up in Pierce's house late at night, sitting in the dark, not saying anything, and even barely blinking is creepy in its own right. Then the scene switches a gear as the housekeeper comes in from around the corner, with Pierce saying a mildly regretful "I really wish you'd knocked." and shoots her. The way he does it with the casual tone of "Sigh, now I have to go through the trouble of finding new help..." is chilling.
Almost as bad is how everyone elsereactstohim. Any time anyone besides Rogers goes up against him, they lose. Badly. And it barely even seems to slow him down. Natasha's brief battle with him just pissed him off and ended with her being shot. Anybody that tries to fight him like the SHIELD launch personnel and the Quinjet pilots just gets taken out quickly, efficiently, and without a single word from him. The Winter Soldier is as close to the Terminator of the original movie as the MCU has come yet.
Despite him being in league with Hydra, Agent Sitwell's death is pretty shocking, especially with how we've come to known him in the Marvel One-Shots and previous films. It just happens so suddenly and without warning. Sitwell is in the backseat of the car that Steve, Natasha and Sam are in, when Bucky/Winter Soldier comes out of nowhere, grabs Sitwell through the window, and flings him screaming into the other lane of traffic only to be struck and silenced by the grill of a truck.
When Steve Rogers arrives home and sees Nick sitting on the chair. Nick's appearance is far from pleasant. He looks drained of energy, tired, and incredibly weak. The sight is just chilling.
Black Widow's face when chased by the Winter Soldier in the bridge scene. She's terrified on the brink of panic. The implication of how terrifying the Winter Soldier is comes when one remembers that the only other time when Black Widow had a similar reaction was when she was alone with the Hulk trapped in the bowels of the Helicarrier in Avengers.
Pierce activating the security badges placed on the World Council members which ignite and burn through their chests, killing them. Then threatening to do the same to Black Widow.
Some of the deaths that the Winter Soldier causes, such as tossing a man into a jet turbine or shooting a guy in the throat, leaving him to die an agonizing death.
With the revelation that Sitwell was a HYDRA mole, what do you think happened to his new recruits Benny and Claire and the Chitauri weapons that he was reverse-engineering?
Natasha's line, "Everyone we know is trying to kill us."