Sweet, soft-spoken Ayano punching Misao in the face in Chapter 3 when under the influence of a Demon Brand, and screaming that she hates her and never wants to see her again... brrr.
The flashback to Kyoko's death, at the very end of the final battle with Vittoria. It immediately establishes just how much the war cost, and just how powerful she was.
In the same chapter, this is followed by a chilling scene in which Nico reveals how many surviving Puellae Magi there are on Earth: four.
In Homura's world, the event that set off the war. Less than ten steps from safety, a mortally-wounded horde of Demons lets off one last, desperate attack: a lightning bolt that kills Tsukasa instantly, in mid-sentence, in full view of Kagami. All the work the combined Puellae Magi put into protecting them both, and they failed literally at the last second.
Kagami's fall and transformation in Chapter 9, and Kazumi's sudden death immediately after. Vittoria reaches through her shield, drains her Soul Gem, and she's just... gone.
The Third, which takes the form of a giant, rabid, emaciated three-eyed dog with a stomach filled with maggots, is terrifying enough already, but it gets turned Up to Eleven when it swallows Kagami whole.
Chapter 16. Desideria brutallyMindRapes Homura, recounting a twisted, half-truth version of the events that led her to Kagami's world... while also using her powers to literallyrapeher Soul Gem. It's played for all the stone-cold horror possible, and leaves Homura in a near-catatonic state.
Remember the Yuki cosplayer in that one episode of Lucky Star, the one who worked at Konata's Cosplay Cafe? She gets flayed to death by monstrous crows in Chapter 20, leaving a completely skinless corpse behind.
In My Sunshine, Mami has her memories slowly eaten until she is basically reduced to an infantile state of mind. It's both scary and heart-wrenching.