Doppio's transformation to Diavolo, at least in PV 5, is quite unsettling. We see Doppio pop up and be his usualself, when suddenly his eyes turn uncharacteristically sharp and aggressive, and his voice drops several octaves. For the brief seconds we see Diavolo!Doppio, the whole thing comes off like he's possessed. Then he steps through the panel divider, apparently pulling off his shirt, and Diavolo comes out the other side. For all we know, he could have just pulled his skin off. (It's based on manga panels where removing his shirt triggered the change, but you can't tell from the game's cutaway.)
Having fun decimating your opponents with Giorno's Gold Experience Requiem? Remember how anything killed by it is stuck in a hell of horrible, painful deaths with no escape? The thought of being able to subject characters like Jonathan and Koichi to this fate is terrifying to say the least.
Naples - Hooked by Pesci and the train drags the loser across the runway and onto the tracks. Said hook will dig into the victim's heart. Some like Buccerati, Jolyne, and Esidisi can work around this however. Anyone else? Well...
Kennedy Space Center - Crashing off several railings off the inverted building.
Maiden Heaven - While there isn't a Situation Finish per say; unless Pucchi is somehow defeated, the loser would likely be killed and wiped out of existence.