In just the first episode, we see the guns' One-Hit Kill function in action. At the point of impact the guy's skin bubbles like some horrible infection, then he explodes into Pink Mist with a few chunks here and there. Then the cops plan to turn the gun on his victim, since apparently a person's criminality can transfer to another person!
In the first episode, you can see a rapist rape someone on-screen. You can see the terror in the victim's face.
Talisman looks much more worthy of the handle "Spooky Boogie" than Spooky herself, consisting of a pair of floating gloves and a rotating floating mask with glowing facial features.
Masatake Mido's method of body disposal; chop 'em into little pieces and flush 'em down the toilet or sink. Made worse, of course, by how we never see the dismembered bodies, just the small explorer robots crawling into the drains.
Not to mention the culprits' death. The second person gibbed.. After the real big bad uses his own holo-cracking to end him.
The exhibit case: Victims are dismembered alive. Then, the parts are put through Plastinationnote a process by which flesh is basically turned into plastic and frozen in place after which the killer would leave them in a public place. In at least one instance the killer arranged the body under a holographic light so people walked past not realising it was real.
The next time we see Mad ArtistRikako Oryo, her bones have been turned into a pipe.
Episode 15. All of it. Makishima succeeds at making society break down, by mass producing the helmets and allowing numerous people to commit crimes without Sibyl's judgment. Some people commit crimes for the fun of it while many others commit crimes due to feeling disenfranchised by Sibyl's society (many people are shown to have not been able to have good jobs or are outcasts due to Sibyl's judgment and take their "revenge" on normal citizens). Citizens fight back, and some become just as bad. And yet this is all a ruse to distract from his real plan... This can be particularly unsettling for people who have lived through real life riots and have seen societal breakdowns with their own eyes.
Although somewhat obvious, it should be noted Makishima is planning to cloud all Japanese peoples' Psycho-Passes and make the Sibyl System obsolete by making all of Japan starve and have to fight over food! ...At least until the Sibyl System imports it food from other countries, giving other countries much control over Japan, which would also make exposing the Sibyl System and dismantling it easy for other countries.
There's also the Fridge Horror that 22nd century Japan is almost like a closed-off, technologically enhanced version of North Korea that can feed itself.
Episode 20, Makishima's meeting with Professor Kudama. It seems all friendly, until Kudama tells Makishima what he wants to know about a lab Makishima needs to get into for his plan. Makishima reveals he knows to get into the lab, one would need Kudama's eyes and hands. Makishima turns his back and pulls out a switchblade...no points for guessing what happens next. To make it worse, Kudama's corpse is shown later in the episode...without eyes or hands.
And for that matter, Kogami hid his message in the poor guy's throat. After he finds the body, but still!
Episode 21 has Masaoka's death. Although it is mainly a Tear Jerker, what the body of Masaoka looks like just before death is not pretty, due to a close-range explosion. Not to mention the the state of Ginoza's horrifically mangled arm.
Episode 22 has one small moment. This whole time we've heard the Sibyl System speak in the detached, mechanical voice of the Dominator, so hearing it giggle when Akane says that society will outgrow the need for it is rather unnerving.
Yayoi's hospitalization in Episode 12. For anyone who has been in a psychiatric ward, they know the depiction is scarily realistic...now imagine going through what Yayoi went through...being in a psych ward for three years until she could conform and believe her society is fully correct.