Rasetsumaru: Rips the opponent's heart out with his bare hands, then crushes it before their very eyes and begins drinking the flowing blood as they collapse.
Kusaregedo: Drags his opponent offscreen and then eats them alive while you hear screaming. Then he comes back onto the screen and vomits up their skull. If his opponent was Mina Majikina, he spits out her bra and panties instead after devouring her.
Enja: Incinerates the opponent in a pillar of flame, reducing them to nothing but ashes.
Jubei: Splits his opponent vertically and horizontally.
Suija: He knocks the loser down, then uses his telekinetic powers to lift them to a point above him. Then you see him close his hand into a fist, and hear a scream. As if it wasn't bad enough, he then leans back as blood rains all over him.
Hanzo: Breaks the foe's arms, then their legs, then leaps into the air (shattering their ribcage as they ascend) and piledrives them headfirst into the ground so hard that their skull cracks, killing them due to fractured pieces of bone impaling their brain.
Kyoshiro: Slashes the opponent as Kuroko the judge watches, then summons a flame which blows off the opponent's head and right arm.
Basara: Drags the loser into a shadow pit, where we hear the victim's screams as Basara viciously mutilates them until only their disembodied head remains, which is tossed out of the portal as it closes.
Yunfei: Rips his opponent's soul out, pulls his sword, and slices it in two.
Zankuro: Generates a green flame on his sword, swings it, and burns his opponent to nothing. You can still see their face as the opponent is eradicated.
Jubei, in particular, with his fatal move being a flurry of powerful slashes.
Decapitations in Samurai Shodown Sen are of particular note, as the victims' headless bodies will spasm and convulse in death while lying on the ground.
And not to mention horrible deaths before these games, mostly in the first 2 games, when a fierce slash as the final hit of the last round may cut the opponent in half or convert him/her in a fountain of blood. And behind the winner making his/her pose, the corpse of the loser is leaving the stage in a coffin.
Some of the Seppukus are bad as well. Kyoshiro is eaten by his own frog; Basara slashes his own throat, rather graphically; Rimururu freezes herself alive; Enju rots into bones...
The old SNK site had an entry on how to make a Gandara, the mid-boss of Samurai Shodown 64. It gives a new meaning to Powered by a Forsaken Child.
Kusaregedo is terrifying in concept alone. In life he was so wretched that he returned from the dead as a gaki, or "hungry ghost", driven to cannibalism. In his ending, he devours his own daughter. His main weapon is the bone of his right arm; it's not clear if he merely summoned it out of his arm or if he ate his own arm and gnawed the bone sharp.
One of the winposes of Basara is with Kagaribi's ghost appearing in his arms, but then the ghost converts into bones and dust in front of him, and then Basara screams in pain for the loss unaware that her death was caused by Basara himself.
The fact that children are engaging in deathmatches in itself can be very nightmare-inducing. Nakoruru was only 15 when she first debuted, and Suzu, a protagonist of Samurai Showdown Sen, is 14 years old. These same children within the series are subject to the same horrifying fatalities and brutal death listed above.