While all of these vague references to other games is really cool, it has a horrifying implication that all of these games take place in a loosely-connected multiverse where any of these apocalyptic scenarios are possible. Even Catherine has an obscure reference to earlier SMT games, so while it lacks any apocalyptic themes, it still has particularly evil and meddlesome examples of All Myths Are True.
Shin Megami Tensei IV plays around with the idea of controlling demons. The demons in your party are loyal, but they occasionally show discontent when you don't let them change skills; on the other hand, they'll happily rejoin the party if they get lost. It also goes into Undying Loyalty territory, with demons like Ares and the Minotaur showing loyalty toward their masters, even years after they died, and your own demons continuing to fight for you even if you perish in battle. However, the game also ramps up the horrifying implications of this further, by having the Ashura-kai thugs summon demons to stop you, who are usually not pleased by their position, but are forced to fight. Later on in the game, the once proud demon Koga Saburo is forced by a thug who works for Tayama to fight you against his will, turned into a mindless attack dog, and thanks you when you kill him. This also in general counts as a Tear Jerker for him and the other National Defense Divinities as none of them are evil and want to protect mankind from demons and those who seek to harm humanity, whether actively, like the Ashura-kai, or whose methods would hurt humanity passively, like the Ring of Gaea.
In a standard fusion, the involved demons get merged into a single larger one, and it's implied the result has parts of each's accumulated experience/bits of each's souls. How large could the mass of memories/souls of a top-tier demon could be?
On a more meta example, and with some Fridge Horror for good measure: the fact most of the top-tier angels (Metatron, Sandalphon, Melchizedek, Ophanim, and most likely others) are portrayed as robots. Think about it for a sec.
The revelation of what Magnetite/Magatsuhi/Red is made of. Human minds and souls, for the curious.
The simple fact that God, the single most powerful entity in existence, is a psychotic, iron-fisted fascist obsessed with the idea of a World of Silence in which everyone mindlessly worships Him for all eternity, obliterating any hope for change or movement, no matter how small. All just to slake His unfathomably huge ego. That much power coupled with that much crazy - or worse, a benevolent entity warped into this by human belief, as has been heavily implied across the series.
The gameplay is not safe from this. They have an attack that inflicts "Bomb" status, in which the victim—which can be anyone from one of your demons to you—becomes Made of Explodium. One hit with your guard down and you explode violently, dealing your HP in damage to the rest of your team. Easily the most terrifying status ailment besides Stone.
Tzitzimitl, where did your eyes go?◊. And that belly she's caressing so lovingly? She's not pregnant with the cosmos within her robe —that's a distended stomach, bulging with the stars she has EATEN, snatched from the sky with her million arms.
As a side note, he is blissfully innocent if not particularly benevolent. If he remembers he's supposed to be a demon after all, he either becomes Black Frost, an insane Superpowered Evil Side now able of No Selling Fire, commonly the best way to deal with Frosts, or perhaps worse, he could evolve into freaking Wendigo.
Alice.Die For Me! is bad enough, but when you learn her story... which is also a Tear Jerker all on its own... well. Let's just put this in spoilers... The Hare of Inaba explains it rather well in Shin Megami Tensei: Strange Journey: Alice was a normal, happy girl who at once point came to the attention of some demons who immediately got smitten with her. So what did the demons do? Something to help Alice, of course! They gave her a portion of their magic. Alice died soon after, driven to insanity by the power she had been granted. And the power revived her. Sorta. What rose from Alice's grave was a true demon, formed by the massive magical power Alice had been granted, and gifted with her innocent mindset... Now, what could go wrong with a girl who desperately wants a friend, but who tends to liberally throw around deadly instant-death magic and cannot understand the very concept of death itself, or what is she, or what is she doing? She also likes to summon wave after wave of undead, to ensure you never leave her...
In the aforementioned mission with the Hare of Inaba, Alice eventually catches up to you and the Hare, and then skins the Hare, boils him alive, and eats him.If youlet her.
It doesn't help that said Hare of Inaba mentions that he always revives, and so she does that to him over and over again.
Garrote◊ is a choking man in a garrote vil, an excruciating execution device. When Ixtab summons a Horde of them in IV, they are squirming.
Rastaman◊, An overweight zombie Rastafarian with a bloody saw and a shopping bag filled with severed heads.
There's some Fridge Horror about all of the demons of the Undead Race - many are sexually fetishistic, like Facebind, Drag Queen, or Padlock. Rastaman and Garrote are, essentially, criminals and assorted lowlife scum. Others are occupations that often come under heavy judgment like Patriot, Zombie Cop, Agony or Zombie Priest. This, on the whole, implies Undead are actually humans demonized by the stigmas they faced in life.
Lilith. Special mention to her Shin Megami Tensei IVincarnation◊, but even her design◊ before that was unsettling in its own right. She's pretty, right? Look at her hands and feet. Carefully.Bleeurgh... The fact it's so easy to overlook only makes it MORE unsettling.