Sora slowly losing all of his memories, specifically replacing Kairi — one of his best friends — with Naminé, was rather disturbing. The depth of his brainwashing was made most explicit when Sora begged Naminé to break his heart to save herself, knowing that she'd been manipulating him the entire time and that he'd probably end up catatonic, staring at nothing just like the Riku-Replica.
The whole concept of losing one's memories the further into Castle Oblivion they go is pretty heavy Nightmare Fuel all on its own. Sora's gradual descent into madness just makes it even worse.
Naminé is deathly afraid of her captors, Marluxia and Larxene. Larxene is known to revel in cruelty, and Namine's reaction suggests that it may not all have been shown on-screen. Even more disturbing is her obvious terror whenever Marluxia is around. The way she jerks away when Marluxia touches her on the shoulder just makes it worse.
Vexen's death in the manga. We're treated to a glorious two-page spread... of Axel punching a hole through Vexen's chest.
Vexen's death in general, which has two other versions. The original GBA version has Axel cutting his throat from behind. The PS2 remake/PS3 HD Re Mi X versions have him gloriously burned alive
How about that scene where Aerith flat out tells Sora that she doesn't exist? And Goofy and Donald don't see her?
This game in general is far Darker and Edgier than the previous game, and in fact arguably outstrips every other game in the series. There's a lot of violence, and Sora slowly loses his mind with his obsession for Naminé, and outright abandons Donald and Goofy when they ask him to stop and think about it.