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Nightmare Fuel: Virtue's Last Reward
Much like the previous game, Clover's ending is full of it. Suddenly everyone in the warehouse is gone. When you find most of them, it's as a heap of dead bodies. Then Sigma's own Radical-6 kicks in and he slits his own throat with a used scalpel. Have fun sleeping.
You get the first hint that something is terribly wrong when you bump into Phi while chasing after Clover. Phi is not her usual brusque and no-nonsense self, and she genuinely looks ill and devoid of all life...
Luna appearing out of nowhere outside of the AB rooms during her ending, especially when considering that you've only just found out that she is a GAULEM and was thought to have be killed by Clover. Slightly mitigated later on as despite Luna being a robot, she still has no intentions of hurting anyone and never chooses betray at all over the course of the game.
At the end of Luna's route, Zero Jr. slowly starts to shut her down, and she dies in Sigma's arms. Meanwhile, the drug she was injected with is breking down her artificial muscles, which results in her skin cracking and her eyelids falling away from her metal face, all whilst crying and hugging Sigma.
Alice's expressions when you're trying to stop her from killing herself can be this. She looks almost possessed at times, especially when she first comes down with her symptoms.
The fact that the camera zooms in on her bloody corpse a lot can also make you a bit squeamish.
Tenmyouji's exposition dump at the very end of the true ending; Radical-6 spread all over the world, just like the in-game newspaper and journals stated. Hundreds of thousands died BEFORE someone decided to send the planet into nuclear winter. And Junpei lived through all of this.
The sight of Sigma's mechanical arms in the End or Beginning ending is enough to send a chill down anyone's spine.
When you open a treatment pod and see Dio dead inside. Just imagine being trapped in a confined space and notice someone outside your treatment pod shutting off your oxygen supply. There's literally nothing you can do but to wait until you die from asphyxiation.
In most of the bad endings and some of the "good" endings the number 9 door is opened and one or two characters escape leaving Sigma and the others trapped permanently inside the facility, with nothing to do except walk around the facility waiting to starve to death (it is later revealed that the escapee can rescue the others by taking the elevator to the lower floor, but they don't know that). This is especially frightening in Luna's ending, in which Sigma is left completely alone in the facility with six corpses and the metallic husk that used to be Luna.
The problem isn't starving to death, as characters reveal that the pantry has perfectly edible food able to last for a long time. The issue is how everyone is infected with Radical-6 and will eventually succumb to it without Akane's treatment. And given that Akane dies in all endings where the bombs don't go off...
The End or Beginning has a newscaster commit suicide on live television.
Quark's ending. Sigma remembers that his arms are fake, and thus uses this to almost kill Dio using the 9 door. Everyone tells him to stop, with him complying. Cue Sigma's arm getting crushed along with explicit sounds.