The episode "Spiders". The victim's boyfriend was a teenaged neo-Nazi who had murdered a woman the night before, and you see the poor girl trying to find a way out of the house without him noticing— but both the doors are locked. She goes to the kitchen where his mom looks to be washing dishes or something, his mother already having been established as a kindly, cookies-and-milk kind of woman seemingly innocent to what her son was up to. But when the victim goes to her and starts practically sobbing the story of what happened, and how they have to go to the police, his mother turns with a brittle smile and starts talking about what black men do to white women like them, and how it's so lucky that they have men like her son to protect them... all the while while washing blood out of what looks like a tee shirt. This must prey on some childhood fear (besides the obvious creepy factor of having a crazy-intense skinhead for a boyfriend) of having an authority figure turn out to be one of the bad guys too... and to be trapped.
The episodes 'Mindhunters' and 'The Woods', about a serial killer who kidnapped women and then hunted them for sport. When he is finally cornered by Lilly, he gloats that his youngest victim, a high school track runner, was so desperate to escape she attempted to run on the stumps of her legs after her feet were practically broken off. It was seriously one of the most disturbing things I'd ever heard on TV. The scene of her wailing "I want my Daddy!" just before she is fatally shot doesn't help. And although he didn't rape any of his victims, he seems particularly smug about putting the fear of that possibility into them (he forced his victims to strip before making them run through the woods) and that towards the end, the women were practically offering themselves to him—"You have no idea of the things a woman will beg you to do, if you'll just let her live"—in the futile hopes of surviving their ordeal.
It's made even worse by the fact that the writers stuck pretty damn close to the real-life killer that inspired those episodes, Robert Hansen.
"John Smith" from "The Road": "Once hope is gone... dying is just a formality." His entire MO is horrible. Some of his victims had even managed to somehow carve messages into the wall of the cell, messages which appeared to grow increasingly desperate and illegible.
The beginning of "Rampage" was also pretty horrific, considering how out of nowhere it was. "Rampage" begins with two kids screwing around in the mall with a presumably new camcorder. You start to think "Okay, one or both is gonna be shown dea-" and then they randomly whip out guns and start firing into the crowds.
Malik from "It Takes A Village". Tortured and abused as a child, he gets his revenge by staking out arcades to find boys that remind him of the ones who tormented him, imprisoning them in a soundproof room where he made them stand in place for days, before finally slashing their throats.
The episode "Strange Fruit"note "Strange Fruit", performed most famously by Billie Holiday in 1939, is a protest song against the lynching of black people., which featured a trio of racists beating and hanging a young black man, all while Dr. King's legendary "I Have A Dream" speech played in the background.
The episode with the strangled women both found posed like Ophelia lying in ponds. When they showed the first woman's death along with the man's whispers of "I make the decisions."
The Murder scene in Death Penalty Final Appeal: The scene ends with the murderer creepily stroking his victim's hair while claiming "you'll always be my good girl," while holding a knife to her throat. As it fades out, we hear the victim whimpering in terror.
Many of the death scenes, especially Mitchell Bayes' in "Churchgoing People" and the young girl in "Mindhunters", with her scream of "I want my Daddy!".
"Offender", in which the killer lured his unsuspecting victim into his garage with the promise of helping him (the boy had fallen and cut his knee). As the killer walked towards him, the boy turned to face him, and in the split second before the garage door closed, his eyes widened in knowing terror.
"The Letter", in which the victim is held down and gang-raped, then accidentally smothered when her would-be lover puts his hand over her mouth to muffle her screams. Though that scene in "The Letter" could be interpreted as him suffocating her to spare her the more painful death the group would have planned. When he takes his hands away, the body is still moving. Think about it.
Also from that episode, there was a kid living in that house. Fridge Horror mixed with nightmare fuel ensues when you wonder where she was that night and if she heard anything.
The sheer ease with which many of the killers have readjusted to their normal lives after ending someone else's can be quite disturbing, especially if they've actually moved up in the world after committing the crime. An example is the woman in "Schadenfreude;" a lowly hairstylist in the past, she owns the entire salon in the present and displays no regrets about having murdered her best friend to get there, or one of the killers in Blood On The Tracks, who enticed her ex-lover to murder her husband, then killed her friend as well, then spent the next 26 years living the life of Riley using her friend's identity (they looked very much alike), again, showing little remorse for her actions—when she feebly protests to Lily that she loved her husband, a disbelieving Lily snaps, "You've got a funny way of showing it."
The hippies in "Volunteers" get killed by their seemingly easy-going friend who was an informant. That smile he was flashing the whole episode just... disappears.
The murder in "Andy In C Minor" isn't particularly brutal or graphic, but the context is horrifying. The murder took place at a school for deaf kids. As Lily put it, "Killed in a place where no one can hear you scream." To think that he was probably only inches away from someone who could have helped him, but was completely unaware of what was happening. Not to mention that he was deaf himself and thus had no way of realizing that his killer was creeping up on him.
When some of the cases are that of missing persons rather than murders. The agony that their loved ones must have gone through for years, wondering what happened, possibly even having a tiny bit of hope that they were still alive somewhere, only to finally have their worst fears confirmed.
The death in "Metamorphosis" when the victim finds out the circus she is in is running a scam and confronts the ringmaster, the real mastermind turns out to be the really tall guy in the freak show, who stalks her from behind.