At least five of the Borg drones are Klingons, If Resistance Was Futile for them, with their multiply redundant organ systems thanks to eons of adaptation to survive a physically demanding and often gravely injurious environment...what chance would the rest of us have?
The montage in which we see the Enterprise crew failing to hold back the Borg, during which we see several officers are being assimilated — one watching dispassionately as his amputated arm is fitted with a cybernetic claw, another whose face we see in close-up, sparing no detail of an eye that's been excised and replaced with optic-nerve interface hardware.
The entire opening. We see Picard flashing back his time on the Borg Ship and assimilation (Eye Scream included). It's frighteningly disturbing seeing him plugged in to one of those rechargers with this completely emotionless expression on his face, and at this point he's still in uniform and hasn't even had any implants put in yet. And then these flashbacks finish and we cut to present day Picard looking upset after recalling all these traumatic events. Then he goes up and looks at himself in a mirror, and BOOM! - a Borg drill pops out of his face. Yes it turns out It Was All A Dream. It doesn't make things any less freaky to watch.
Dear god, the Borg were bad enough in the TV series, but anytime they showed up in this one the movie actually turned from a sci-fi film into a damn horror flick. One of the scariest scenes is where a handful of crewmen flee inside a darkened room on the ship... and then several Borg lights start flickering on within the room. It gets so bad that anytime we transition to Riker's party talking with Cochrane down on Earth it actually comes off as a welcome breather.
Jonathan Frakes (who directed in addition to playing Riker, hence Riker's rather low-key role in the film) took a lot of inspiration from Aliens, which explains a lot of the horror in the film, and even the downright seductive manner of the Borg Queen.
To be fair, it's easily-breakable by Data, who has been shown to have Super Strength.
Data with half his human skin melted off rising out of the coolant to grab the Borg Queen and pull her down.
The blank looks and thoughtless eyes on the crewmembers' faces when they're in the early stages of assimilation - they're not afraid anymore...
During one such sequence, you can hear what sounds like a whispered "Good girl...good girl..." Did they have to add that creepy little detail in?
The one crewman who begs Picard to help him as the assimilation process begins. It makes it so much worse when you realize these are probably his last conscious thoughts and feelings before his mind is superseded by the Collective.
That killing him before he was assimilated qualified as "helping" was just as bad.
The way Picard acts, as the situation becomes more bleak by the minute. We're talking a man who normally is fairly cool in most situations, even life or death ones normally. Right from the get go, we see just how personal this is, when Picard is once again faced with the lack of trust of some other Star Fleet Officers due to his time as Locutus (as shown in episodes such as Emissary and The Drumhead). Let's put that in perspective. Picard is Captain of Starfleet's newest, and most advanced ship at the time, an Assault Cruiser type ship. And the first thing Starfleet does is tell Picard and crew to take a hike, and DO NOT play the role of being Big Damn Heroes. Obviously Picard is not happy to be reminded of the fact that he had Starfleet secrets taken by the Borg when he was assimilated. By mid movie, he's clearly shifting into Blood Knight territory, taking actions just for the sake of engaging the Borg in battle, including dumping an entire Thompson machine gun's drum magazine worth of .45 calibur bullets into some drones, even after they're dead. Near the end he's crossing into full blown Revenge Before Reason, throwing one of the most violent fits ever seen in a Star Trek series, insulting his most trusted officers along the way. This is a movie which begins to really call into question Picard's psychological health.
Data, once the Borg Queen grafts flesh onto his face. The contrast between his normal appearance and the stolen skin and hair, and that innocent blue eye, is incredibly creepy. To say nothing of where she got such alive looking skin from...
The fact that Starfleet initially leave Picard, their most experienced captain against the Borg, and Enterprise, his brand-new Sovereign-class battleship (whose design envisioned exactly this sort of battle), out in the back of beyond, because they don't think Picard will be able to keep his cool precisely because of his prior experience with the Borg. Which is exactly why they need him in the battle — as we see when he and Enterprise arrive there, and thanks to Picard's unique insight and his ship's new weapon systems, promptly ruin a Borg cube which had shrugged off everything thrown at it previously, and which was mere moments away from assimilation range of Earth. In other words, Earth was almost devastated because the Federation's high military command made a mistake - or were even borderline incompetent - and even that is almost preferable to what we see in the next film, Insurrection, which revolves around the corruption that apparently also riddles Starfleet's admiralty. You want scary? Borg and creepy crawlies are pretty bad, sure. But a government whose leaders are too stupid to know the right course of action when they see it, and too corrupt to carry through with it even if they did? That's scary.