The Enigma Endings: in the event that you fail a mission during the past, John Vattic will wake up in a mirrored room, heavily drugged and being interrogated by the Big Bad. Quite apart from the fact that Vattic is being shown photographs of the bullet-ridden corpses of his friends and allies, the aforementioned Big Bad chooses to project his digitally distorted voice from behind one of the mirrors, making it look as though Vattic is being tortured by his own reflection.
Penfold Asylum, especially when you enter the high-security wing. After a whole floor of amusing lunatics, having the living shit kicked out of you by a raving psychopath in a muzzle and restraints is pretty jarring.
The final level, "Redemption." By now, you're all alone in the Zener Project facility, which is slowly being shut down around your ears. Previously accessible entrances have been sealed shut, trapping you underground. The only way to escape is by entering the lower levels, inhabited by shock troops and the deformed Zener Children. As if this wasn't bad enough, you keep flashing back to even grimmer scenarios in the future. Oh, and just in case you were calming down at any point during the level, here's the level's music.
Don't forget that all throughout that level, the Zener children are topping that music with "I am the shadows" appearances and disappearances, and at the end of the level, the Big Bad is swarmed by dozens of them, knocked down, and EATEN ALIVE. Worse when you consider that they have no Body Horror to speak of, so it would be like being eaten by a horde of (physically) normal fifth graders.