There's a lot of violence, which is made even more disturbing when contrasted with the protagonist being an innocent child caught in many, MANY predicaments.
The Pale Man.
The fact that there were so many shots of the dropped chalk has left more than one person terrified that the Pale Man would use it on his side to make a door into Ophelia's room and come after her while she was sleeping.
The pile of shoes. That's where the fantastic horror becomes as real as the military violence, because you've seen images like that from the Holocaust.
Ofelia looks up at the ceiling of the Pale Man's lair, and sees murals of the creature skewering and eating babies. Note, we never SEE the Pale Man eat a child, but this bit is enough to set up what kind of monster we're dealing with.
The horrific and unnecessary demise of two of Ofelia's three fairy guides.
The scene in which Vidal beats a man to near death with a blunt object while the man's father is forced to watch, leaving him alive long enough to see his father shot down before him, and then finishing him off. And it turns out the father and son actually were only hunting rabbits, making their deaths completely unnecessary. Vidal still didn't show any signs of remorse; instead, he just tells his men to be more thorough in the future before coming to bother him.
When Ofelia is all safe in her room after the foro closes, the last pound sound on the door, implying he's still trying to get her.
The capture of the stuttering rebel. His fear in that scene is palpable.
The scene where Ofelia looks at the book in the bathroom and sees nothing but blood spreading over the pages, then (clearly terrified) opens the door into the bedroom to see her mother hemorrhaging. Something about so much blood on white bedsheets, and the way she cries and her 11-year-old daughter is the only one around to get help... It just evokes such natural fear about the potential dangers of pregnancy/childbirth, especially at home, in a time when medicine wasn't what it is now, and in an environment where the man of the house is perfectly willing to let her die if she gives him a son first... She seems horribly vulnerable in a way that, like the realistically violent scenes, is worse because it can and does really happen.