In general, hearing the deathcry of your character. Special mention goes to the female wizard.
Adria's betrayal, leading to Diablo possessing Leah in one of the most horrific deaths in the entire series and the rebirth of Diablo, the Lord of Terror himself, as the embodiment of all seven Great Evils in one being, the Prime Evil. And worse, Diablo wants to destroy the High Heavens themselves. Holy Shit does not even begin to describe it.
The invasion of Heaven itself. The High Heavens are supposed to be a place full of holy and awesomeness, even if a lot of the angels are dicks. But when Diablo invades, you're treated to sights like angels being tortured, ugly demonic cysts that you have to destroy to continue and the place becoming more and more Hellish as you progress to the Crystal Arch. And as mentioned below, not even angels are immune to Diablo's evil!
Take a moment to listen to the music of Whimsyshire on headphones, full volume, in a dark room, and without looking at the game. note As you might have guessed, the music is actually a real musical piece being played backwards. The original piece is called Gaspard de la Nuit - Le Gibet by Ravel.
The Halls of Agony in general. These were King Leoric's old torture chambers, which saw plenty of use back when he was still alive and going insane due to Diablo's attempts to possess him and the evil whisperings of his Evil Chancellor Lazarus, claiming the lives of quite a lot of people, up to and including his own queen. And that was before Maghda and her coven decided to appropriate the place for their twisted rituals. What makes things even worse is reading his journal, which captures his descent from noble king to stark raving mad step by step. The Darkening was not a fun time to live through.
The massacre of Alcarnus in Act II, though not shown onscreen, showcases quite vividly just how evil Maghda and her Coven are. These are people whose primary means of fueling their magic (even illusions) involves Cold-Blooded Torture, and Maghda at this point is getting desperate.
Listen very carefully during the battle with Diablo. You can hear screaming, just high enough to hear, but not louder than the background noise. It's surprisingly creepy.
It's even worse because you know who is supplying the screaming. Poor Leah...
The descriptions of some of the monsters are pure nightmare as well.
One would expect the Tormented Stingers, for example, to be scorpion-like demons out of hell. But instead, these monsters are created by twisting the bodies of human sacrifices into these horrific forms.
The Unburied are a hideous amalgamation of corpses flung into mass graves, animated by foul magic.
The Morlu, who you fight near the end of the game in Act IV, are the ultimate fate of mortal sorcerers who make deals with demons.
Malthael himself has become this. Originally he was The Archangel of Wisdom and the Leader of the Angiris Council but went mad sometime and now he has become the Angel of Death. I dare thee mortal.
Cain's description of the Butcher is disturbing for a completely different reason: He describes the horrifying demonic Butchers. That's right, there are more of them.
The Reaper of Souls intro has this with Malthael, specifically when, while he's butchering the Horadrim, we get to see his powers up close when he literally causes a Horadrim to wither and decay, ripping his screaming, struggling soul out of his body. Tyrael puts it best:
The first chunk of Act V, especially before you get to your first settlement. First you see a couple people running and screaming...par for the course, honestly, by now. Then you see a large group of people running, only to see their souls yanked from their bodies, turning them into Undead enemies to fight you. You progress, and are told about survivors in the church. You reach the church, only to see a jet of darkness burst from the doors. You hear pained screams for an instant, before they are rendered silent. Even as you play through Westmarch, you continue to see some...not all, but some of the soldiers get their souls pulled, turning them into Revenants, too.
The Grand Maester's plan during The Templar Reckoning quest for Kormac. This utter bastard plans to implement the same horrendous initiation ritual that resulted in what happened to Kormac and Jondar and apply it on a grander scale, doing this to every citizen of Westmarch and beyond in order to make them Templars. It's little wonder that Kormac decides that the Maester, and the Order itself, need to end.
Malthael's plan during Reaper of Souls. Tearing one Horadrim's soul out in front of Tyrael and eating it is disturbing. Seeing the Soul Crucibles in Westmarch, and the floor littered with bodies from the Reaper attack is horrifying. Then you learn from Tyrael and his fragment of the stolen Black Soulstone that Malthael is planning to use the soulstone to forcibly contain all demonic essence in the plane the Soulstone is in - and he's about to send it into Sanctuary. And human souls are half-demonic. By the time you reach him, he has a LOT of souls under his control, plus the Black Soulstone and its contents... And Malthael eats souls.
The implications of Maltheil's successful release of the Black Soulstone on Sanctuary. He tooled it to absorb all demons on the plane. And humans are all half demon. No one gives a clear answer to what this means, but everyone agrees that there is no way that it won't result in the death of every human on the plane.
The following conversation with Eirena comes out of nowhere and isn't expanded upon either. The location at which she says it, such as King Leoric's mansion with its gruesome backstory, doesn't make things better either.
Eirena: There are two boys playing over there. Can you see them? Player: What do you mean? There is nothing there. Eirena:*cheerily* Never mind. They must be dead.