The broken robot you see right before the fight with The Core stands out (In particular, the obviously-frantic command to retreat that they give before they short out for good), as does the Undead Core with his bloody faces (the big energy ball-spitting form especially) and Ballos' last form, with the corpses.
Also. The blood-red stains on Ballos' face in his last form are what appear to be screaming faces.
The stage where you fight Ballos is extra creepy as well. There's something to be said for fighting your boss fight on top of a mountain of corpses, when every powerful slam into the ground kicking up bones everywhere.
Ballos's backstory. Poor guy was sentenced to insanity-inducing torture that made him into the maniac he is today. All because he treated his fellow citizens better than his king did.
Post-Waterway Mimiga Village, made worse by the music (especially the enhanced re-release versions).
And then the revisited Egg Corridor immediately afterwards, which cranks the Scenery GornUp to Eleven (especially with the bloody remains of half-formed Sky Dragons littering the place.
Scenery Porn it may be, but woe betide you if you fall from the Outer Wall.
Bonus points because the player character never exhibits fall damage over the course of the game, unlike a lot of other robots. So if a fall from the island didn't kill him, he could still be alive, just with broken legs. Watching as the island becomes the base for an invasion of the surface.
Let us look at it this way: say one day you wake up, you don't know where you have been, you just know that your hurt, you're weak, and you're lost somewhere in this dark damp cave with no memory of anything that happened. You look about and find one exit, and there you find, either monsters, killer robots gone psycho, twisted abominations, or, above all else, more darkness with a never ending sense of dread, and no way back.
Once you start going through the last five bosses, everything gets worse and worse. Misery and the Doctor are fine, but then the Doctor loses control of the Red Crystal and mutates into the Muscle Doctor, a mindless behemoth who charges at you, creates dozens of bats from his hands, and likes to teleport right on top of you. After beating him, his body dissolves into blood which ascends past the ceiling. Next, the blood, which contains the Doctor's consciousness, comes up and plans to exact revenge by mutating Misery and Sue before merging the remnants of himself with a zombified Undead Core. If you don't have two specific items by this, you get to see the entire island crash to the ground, killing everything Momorin and Itoh didn't evacuate. If you do, however... you go through the game's equivalent of hell, where you learn of a wizard named Ballos who was loved by everyone he met, but his jealous king tortured him so severely that he went insane and killed the king, his wife, his child, and almost everyone else he knew. Jenka, his sister, sealed him away, but couldn't kill her own brother. Misery, his niece, forced Ballos to create the Demon Crown and was soon cursed to being forced to follow its wearer. And while you learn this, you fight against demons disguised as angels, robotic bombs, and a gigantic Press. After you learn that last bit of information, you enter the next section to get attacked the moment you step in the middle of the room by something hidden in the ceiling as two invincible spheres called Rolling appear and the demons start infinitely spawning. After beating the boss, it is revealed that is is a giant Press known as the Heavy Press who plans to kill you with one last attack, which is a one hit kill. Avoiding it and following it down the hole it creates, however, gives you another message which states that the Demon Crown can only be destroyed permanently by killing Ballos, which a ghost of puppy asks you to do in the next room. The final room, the Seal Chamber, is filled with bones on the floor that lead to Ballos, who outright asks you to kill him before the four part fight starts, getting more frightening as the humanoid Ballos turns into a giant stone head, then generates eight rock things, then finally reveals screaming human faces inside of him. And after you kill him, the voices of his victims are heard complaining about how hot it is as they try to crush you.