The battle against multi-faced arm-sprouting huge anti-spiral ships. The opening mouths and eyes when the true strategy comes to surface (quite literally) will haunt viewers until the Grand Finale
Hearing Kamina's scream right after he was horribly mutilated by Thymilph's spear in Episode 8 can be pretty terrifying.
Watching the Anti-Spiral disassemble Nia is terrifying. Her body is literally being pulled apart digital bit by bit, and she's disappearing as it happens.
And It Gets Worse in Lagann-Hen. First, he disintegrates her bodysuit and then moves in on her with tentacles. Nia visibly struggles, and it's staged almost to make it look like he penetrated her.