The Jellyman report, with pictures of the jellified humans who were used as time machine test subjects. This is a lot worse in the visual novel because it's revealed that the 14 discovered were the only ones found. The rest are most likely either lost in space or underground where nobody will ever find them.
In a similar vein, jellified Mayuri from a later episode.
The threatening email sent from SERN to Okabe, complete with a picture of a severed, bloody head. All of this from a research organization too.
The letter written by the suicidal Suzuha was particularly haunting. Her constantly writing "I failed" and the revelation that she became mentally unstable after 25 years of bliss are enough to induce nightmares.
Her imagine spot where she describes the state of the future is much worse if you read the visual novel. What the anime skipped over is the fact that CERN is literally lining people up and deciding who gets to live or die.
Okabe's first use of the time leap machine in the visual novel. As if the trauma of watching his best friend die wasn't enough, the transfer of memories is so painful that he just starts screaming. He describes wanting to tear out his brain and eat it to make the pain stop, until Kirisu finally snaps him out of it. If you don't call Mayuri straight away, Okabe is so badly shaken that he forces himself to pass the experience off as a nightmare. As a result, he has to go through the exact same four hours again.
The very idea of being forced to relive your best friend's death over and over again, helpless to save them no matter what you do, until you've seen it so many times that it barely affects you any more. Their survival depends on whether you have the mental fortitude to keeping trying, alone, or if you give in to despair. Bonus: their fate is due to your own carelessness.
In a visual novel-only scene, Okabe runs into an adult Tennouji Nae, who holds a grudge against both Okabe and Moeka for "killing" her father. That's over fifteen years and two thousand time leaps worth of memories, crammed into a little girl's mind. Their description of the future is far from pleasant.
Time Leap!Nae:[Calmly]Would you like me to tell you about your death? I abducted and confined you, and performed every which way of torture I could think of. You cried and screamed and shat and pissed yourself in pain while begging for your life...! It was really unsightly, Okabe Rintarou. And those are the last moments of your life.
Another visual novel-only scene is when you pursue Suzuha's ending. As Okabe continues the bike trip over and over again his thoughts continue to get darker and darker, to the point where he considers raping Suzuha. Fortunately, he doesn't go through with it.