The Moon Temple dungeon gives off a strong Haunted House vibe when the party first visits it. The fact that it was used by the D∴G cult doesn't help things at all.
The beginning of Zero's finale is quite creepy. Crossbell is facing a plague of disappearances associated with a mind-altering drug, Revache has completely vanished from their headquarters after launching open warfare against Heiyue, and the airport is closed due to a bomb threat. The SSS is waiting for Joachim to call them for the result of the drug analysis, but hours later and he still hasn't called them yet, which prompts them to just go to St. Ursula to ask him directly. However, as they were about to take the bus, they see a line forming up even though the last bus should have come and left a mere five minutes ago; Dudley then gives them a call, and after finding out that the SSS's associate is Joachim, told Lloyd that Joachim was also Ernest's physician. Lloyd and Randy then remembered that Ernest had displayed surprising speed, strength, and arrogance way back in chapter 2, and concerned that Joachim is the mastermind - and thus a surviving member of D∴G cult - Elie gives St. Ursula a call to ask whether he's still in his lab... only to have the call not answered by the hospital. The SSS then proceeds to run to the hospital, and along the way they find the missing bus... completely abandoned on the side of the road. It is extremely unsettling, which isn't helped by the music that's playing as you're making your way to St. Ursula.
The D∴G cult, full stop. They kidnapped children from all across Zemuria in order to experiment on them, and they have over ten lodges scattered all across the continent. What they did was sickening: Tio was used in human experimentation, pumped full of drugs and subjected to hypnosis and mental trauma in order to heighten her senses for three years, and when she finally achieved it as the Sole Survivor of her lodge, the first thing she heard was the cries of the other children as they died from the other side of a rock wall. Yeah... no wonder the poor girl developed PTSD. Renne doesn't fare any better, as Paradise is revealed to be yet another one of the cult's lodges. You ever wonder why Renne and Tio have gold eyes? By the end of the game, you'll wish you'd never have found out.
What is even more horrifying is what is implied, but never shown. Sergei said that despite everything she has endured, Tio is rather lucky, as her lodge seems to have show the children some mercy compared to what happened in other lodges. Considering one of them was Paradise, and another had a child turned into a fiend that is always hungry - not to mention this process is irreversible, unlike the demonization shown in the game, as Kevin couldn't turn him back and in the end has to Mercy Kill him - and you realize that Sergei wasn't exaggerating at all. It's no wonder that eventually so many nations and organizations worked together to crush the cult, regardless of their differences, because the cult has simply crossed a line for everyone. Freakin Ouroboros threw it's full weight behind doing it's part to crush the cult, even if it wasn't cooperating directly with any of the other organisations, and the cult's plans weren't interfering with their grander plans. What may very well be the Big Bad organisation of the entire franchise went out of it's way to obliterate the Cult, without any notions of being rewarded or having their part in the operation acknowledged, simply because the cult was Just. That. Bad.
At the start of Azure, Kevin says the lodge he took down, the one with the child he had to Mercy Kill, might have been the worst one of them all. Given that, again, Paradise existed, this really says something.
The fact that it has become an international problem in the first place is a Fridge Horror on its own, as that means the number of children kidnapped from across the continent is significant enough for various governments and organizations to take notice of it in the first place.
Worth mentioning are also the effects of Gnosis and it's overdose. The best examples are what happens to Joachim and Ernest, who turn into horrifying demonic creatures. Unlike Joachim, however, Ernest survives.
A few words in the final chapter on reading the D∴G cult's files are enough to send shivers down any Sky player's spine: "What's 'Paradise'?" This file is blackmail material on Speaker Hartmann, and while the party doesn't grasp the implications, it means that not only was Hartmann a Corrupt Politician with ties to the mafia, he also frequented a child brothel. This is the person essentially running Crossbell.
Trails to Azure
Mid-way through Chapter 2, Campanella tricks the SSS into a trap that wouldn't be out of place in something like Saw. He locks them in Jona's old Hacker Cave, overclocks all the servers to set the entire room on fire, and forces them to beat him and Pom Party to unlock the door. Not helping is the distorted, HORRIBLY off-key version of "Underground Kids" playing on the speakers as they approach the room.
Osborne and Rocksmith during the Trade Conference prove to be this through Realism-Induced Horror and pure politics. The tension is think enough to cut with a knife in both their one-on-one talks with the SSS, and while Rocksmith is the Lesser of Two Evils, he still spins commending the SSS for the events of Zero into a self-gratifying political stunt, and his talk of decorating these non-Calvardians for dealing with a crisis that didn't affect Calvard makes it clear that he only grudgingly recognizes Crossbell's autonomy and sees the state as rightfully Calvardian. Osborne, meanwhile, bluntly implies it's only a matter of time before he annexes Crossbell, and that they can't hope to fend off an invasion. He even takes Lloyd's Shut Up, Hannibal! in stride. What's worse is by the end of the conference, both are proven right. Crossbell's military and police were woefully unprepared for the terrorist attack and only Osborne and Rocksmith's deals with Private Military Contractors were able to stop them, giving them both more ammunition to call for them to be reduced or abolished. It's also implied that Osborne saw the terrorist attack coming and let it happen just to prove this point.
The ending of Chapter 2 sees the Erebonian terrorists slaughtered by the Red Constellation, by which we mean the player and SSS arrive just in time to see a pile of blood-splattered corpses. Shirley comes close to slitting the last survivor's throat (all the while treating it like a childish game) before the party intervenes. The SSS agrees this was overkill even for Asshole Victims like them.
The beginning of Chapter 4 starts with the Red Constellation launching a full scale assault on Crossbell. It starts with Arc-en-Ciel's opening show where Shirley cuts up the chandelier on the stage, resulting in it landing right on top of Ilya, followed by several more constellation troops coming in and firing their guns to scare away the guests. Then it shows the rest of the city, with multiple shots of buildings and houses being burned down or blown up, with a demonized Wald going to Downtown and destroying his own hideout before trying to outright murder his own gang as sacrifices, leaving Dino for last. The SSS arrive to see the city turned into a warzone, and find the Crossbell Times staff as hostages held at gunpoint in their own building and despite their attempts to help, it ends with the IBC building being blown up. Worst part is The Reveal that it was in fact thought up by Dieter himself as a False Flag Operation to embolden them to agree with is mad plans for independence. To realize a man who seemed so friendly and claims to wholeheartedly love his city be willing to cause such bloodshed for his agendas is horrifying in it's own right.
Optional conversations at St. Ursula Hospital after these events (you're forced to go there to visit Fran, Donovan and Ilya, the latter two being on ventilators and in comas) have several doctors and nurses lamenting the patients they weren't able to save, and that while they're no strangers to death in this profession, this is the first time they're seeing it on this scale.
Dieter declaring Crossbell's independence and instilling himself as its first President without a formal election is incredibly unsettling given how sudden it is, as he'd seemed like a rare Reasonable Authority Figure at first. But then he keeps Erebonia and Calvard's assets frozen even after threats of military retaliation, which clues in the SSS that he has some kind of secret superweapon ready, then a talk with Lechter results in the slow, horrifying realization that he hired the Red Constellation to attack Crossbell as a False Flag Operation, and then the SSS get a panicked call from Cecile explaining that Arios came and took KeA. This is only the start of things going From Bad to Worse.
The Aions. The goddamn Aions. As long as KeA is the Sept-Terrion of Zero, these things are effectively orbal-powered, malevolent demigods. Calvardian soldiers come to call the Type-β the "purple devil" as a result of their failed attempt to combat it, in which it bisects their airships (and, judging what appears to be blood, the peopleinside) and destroys their tanks with precision lasers. The Type-γ obliterates several Erebonian tanks with one Double Buster Cannon in a way which, judging by the burn damage to the road, must have cooked the occupants alive. When Garrelia Fortress resorts to the infamous Railway Cannons, the Type-α intervenes and, after stopping all missiles in their tracks, causes most of the fortress, the surrounding parts of the cliff, and the personnel in affected sections to vanish into thin air. As awesome as Dieter using them to protect Crossbell is, at this point he's turned Crossbell into a grave threat to the rest of Zemuria and made an Erebonian or Calvardian occupation inevitable should Crossbell ever lose them.
The original Sept-Terrion of Mirage, Demiurgos, was an artificial goddess that was Driven to Suicide from the sheer stress and burnout from providing for its people. Mariabell and Dieter's plan hinges on putting that same responsibility on a small child. Worse, this almost happens after the Final Boss, requiring Lloyd to talk her down.
What happened to the people of Crossbell who didn't have a chance to escape the barrier? And worse yet, Ouroboros was watching.
as you're making your way to St. Ursula.