On the last day before the audit, the terrorists go all out, driving a truck over one of the guards behind you, then gunning down the other two without any difficulty. Then, they pause... and calmly start walking towards your booth. You will never feel more fear in the game than the moment that you're desperately trying to get that key in the lock and pull out that gun.
And on top of that, most of the "bad" or even "bittersweet" endings as well: the inspector either ends up dead or imprisoned, or has to sacrifice potentially several of his family members.
Terrorist attacks in general. The first one (on the second day) doubles as a Jump Scare, as you aren't given any forewarning by anybody, and you also can't do anything to stop it - the other guard shoots the terrorist dead, but gets himself fragged by a grenade afterwards. And it only goes From Bad to Worse when they escalate...
Sergiu: There is more action at this checkpoint than in the war. I fought in Kolechia for 5 years. If you think it is bad in Arstotzka, it is ten times worse in Kolechia. I do not blame them for coming here.
Arstotzka is stated to have the most stable economy of all the countries in the game, despite the corruption and poor wages. Now what does that say about the other countries economies AND living standards?
One of the reasons why the inspector and his family are living in East Grestin is because rural life in Arstotzka is terrible. So much so that he's actually glad to NOT be in his hometown.
Sergiu: I heard that you are from Nirsk? I grew up there but I have not been back in many years. Inspector: It is still a shit-hole. As before.
Elisa states that Kolechia does not care if she doesn't have a family or dies a lonely, penniless person. They would not give her the proper documentation that's required to emigrate out of the country.
The dictatorship of Antegria will not tolerate any potential threats to their authority and will go so far as to utilize a domestic spying program (a clear violation of privacy rights) to ensure that there's no internal dissent against them. They also issue proscriptions against their own people, according to the emigrating couple you meet on day 5.
The fact that your niece can simply disappear if you choose not to adopt her means that the Arstotzkan Government doesn't care about orphaned children.
Alternatively, it might mean she ends up in some sort of state-run orphanage, though given what we know about Arstotzka, that can't be fun.
An entrant in need of spinal surgery will beg the inspector to let them through without valid paperwork in exchange for 10 credits. This is because the procedure that they need is outlawed in Kolechia and even if it wasn't, they insist that the doctors there cannot be trusted. Combine this with Sergiu's statement about the terrible conditions in Kolechia and you'll get an implication of malpractice against the Kolechian healthcare system. Just the fact that the entrant can't trust Kolechian healthcare workers means that there must be a lot of incompetence and corruption among them such as misdiagnosis, medical mistreatment, willful endangering of patients, and even murder by solicitation of bribery from funeral home and organ donor services.
On the other hand, it seems the main import of Arstotzka are drugs and weapons. So things aren't that sunny there.
The investigator, M. Vonel in the image above, shows up at the beginning of the days when he visits...but he is never shown walking up. You just walk to your booth and when it opens up on the bottom part of the screen, he'salready there, waiting for you.
M. Vonel's sudden and unexpected appearance is guaranteed to make you start regretting your choice of loyalty if you decided to throw in your lot with EZIC on your first playthrough.
The Whistleblower's disappearance in Arstotzka might've been staged to throw off the Antegrian Government. After all, the only way for anyone to effectively lose their fugitive status in the long-term is to fake their own death and then create a new identity afterwards.
On one occasion, an entrant in the line shouts, "DEATH TO ARSTOTZKA!" They then shove a bomb into your hands and run. If it weren't for your guard friend's non-chalant reaction to the whole thing, this would be even scarier.
Also, the appearance of this character is random, so you might get someone with a Slasher Smile trying to kill you with the bomb.
It could've been worse: Lucas Pope thought about implementing "Booth Events" where the Inspector would be threatened by an armed entrant and had to defend himself by either closing the shutter or shooting the aggressor. The idea was ultimately cut out as it was unnecessary.
"For Kolechia!" This is shouted shortly before a terrorist suicide bombs the guards.
A meta example is how the game could change you: when you're starting out, you'll try to review people's documents as thoroughly as possible and usually let them attempt to explain themselves like a civilized person. However, once the money starts running out, you start to panic and eventually decide to try to deal with them as quickly as possible by quickly scanning key points in the documents for a single discrepancy and immediately reject them without a word (though this tactic will eventually backfire with the introduction of the Reason stamp). You'll even start WANTING more people with incorrect papers to show up since rejecting them is always quicker than making sure they can be passed. Every citizen becomes a mere number that you hope you can reject in a race to get more money to keep your family afloat. And why shouldn't they? You're just doing your job. Papers, Please is essentialy The Banality of Evil: The Game.
The really scary part and the reason why this game actually might merit a trigger warning (metaphorically speaking)? This was the Real Life mentality -Just Following Orders, "I'm not responsible, it's somebody else's problem", "I just need to make sure my family's OK"- of many a Soviet citizen, by necessity, and it probably was not much better in other Eastern Bloc countries.
There's a possibility for one of the people on the Wanted List to present you with a Diplomatic Authorization. Because of this, the entrant might be considered a Dissident who is "unwelcome" by their home country and/or the Arstotzkan Government. Given the setting of the game, it's probably safe to say that Dissidents are not treated lightly.
One of the EZIC tasks requires you to confiscate Kallo Kordon's passport and approve his entry into Arstotzka. You cannot deny Kallo's entry after confiscating his Passport because Kolechia and Arstotzka will get very suspicious about one Kallo returning to his country and filing a complaint about being denied entry and another Kallo attending the Grestin talks and going on a tirade of provocative and inflammatory statements against Arstotzka. Because of this, the reason why you have to approve entry after confiscating the Passport is because EZIC will either kidnap or assassinate the real Kallo to ensure that their doppelganger agent can assume his identity and carry out his mission. The newspaper headline "Kolechians are Crazy" supports this by cementing the fact that the real Kallo never made it to the diplomatic talks.
In the first week, the inspector occasionally receives slips advertising a brothel. It seems almost humorous...until the third woman to do this also gives the inspector a note revealing her fears about a man accompanying her in line: He's a human trafficker that's been preying on immigrant women by offering them jobs and then taking away their documents to force them into the brothel. And if the inspector doesn't detain the man, the next day's headlines reveal that several dancers from a club have been murdered.
That an entrant can be scanned, denied entry, or even detained just because a there is a "discrepancy" between the gender on their passport and their physical appearance can be disturbing for any players that are transgender and/or intersex and risk similar treatment in their own lives.
Penny Arcade said it best when they chose the game as one of their Games Of the Year: For Showing That Safety is An Illusion and We're All 100% Fucked!