The first episode begins with some kind of laboratory experiment... and then some kind of monster from outside the building forces its way through security, killing without discrimination, and the (apparently thick and heavy) door to where the scientists are doesn't hold up very long. We don't really get to see the monster itself, either, which only makes it worse.
Also, around episode 5, after Faiz defeats the Monster of the Week at the end of the episode, it comes back in human form to give Yuji and Yuka a warning, and then bursts into blue flame. The worst part is that there's a brief shot of the half-burned corpse, including his now deformed face and partially exposed (blue) skull. Ugh...
In one of the early episodes, Yuka is harassed by some incredibly cruel girls. Normally, this wouldn't be enough for Nightmare Fuel... except that most of it is just offscreen, and the circumstances make it sound and feel as if she's being raped.
Orphenoch victims. After being savagely attacked by a monster, they will stand up apparently just fine, act either a little confused or perfectly normal as if nothing happened for a few seconds, and then slowly crumble to dust, which they may or may not notice happening.