This is based on opinion. Please don't list it on a work's trope example list.
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.
That ending also shows a newscaster commit suicide on live television.
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...
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.
Sigma: "No.... I'm gonna live..."
The researcher's journal found in the Laboratory. It gives a detailed account of the Radical-6 virus, and seems clinical, if a bit disturbing due to its subject matter. But the last page is horrific, detailing what the world looks like, now that the virus has spread. It borders on being an Apocalyptic Log.
The bodies of those dead from suicide are piled up along the roads leading into and out of town. The entire area reeks with the stench of decay, and the sky is filled with the constant buzzing of flies. At times, their swarms are so thick that when one passes it feels as if a cloud has gone over the sun. Every day I see more crows, and rats are everywhere, feeding on the dead. Ironically, the only healthy-looking creatures are the stray cats, who have grown fat on a plentiful rodent diet. The few humans who survived the outbreak have been locked away by the government in underground shelters. I don't know how many were saved, but I fear only a handful. Oh Lord, please.. let their future be a bright one.
Dio activating multiple bombs in several ending routes is plenty terrifying, especially since there's no way to prevent it when he reveals the detonator and even one bomb can kill everyone, but it's topped off with his insane screaming about how they all are going to die as they deserve, while the group restrains him. Small wonder Phi has him sedated immediately after.
With a certain reveal in Zero Time Dilemma a retroactive nightmare appears. In K's ending, Sigma is forced into a situation where he must give the neostigmine to either K or Phi, since he only has enough for one. With the reveal that Phi is actually the daughter of an alternate Sigma, the situation turns from "which of my friends do I save before I die?" to "which of my children do I sacrifice so the other can live?". It doesn't alleviate the situation even with the knowledge that neither Sigma, Kevin, or even Dr. Klim knew of this fact.
As well as the proposal that Akane gives to Alice and Clover for getting them back to their proper time with "Schrodinger's Cat" that ZTD reveals. The transporter is capable of sending atomic data from whatever it scans through the morphogenetic field directly to itself into whatever time period it exists in and is active. Akane's plan to get the VLR Alice & Clover back to the "present" of 2029, is for them to be scanned and have the transporter of 2029 reconstruct them... but the original scanned versions of Alice and Clover will still be stuck in the 2074 bad future. The ones exported will still have the VLR memories, but there will still be two people trapped in the future with no way to get home and only a cold assurance that their lives in the past were fulfilled. And no amount of SHIFT-induced swapping can fix this. Bonus points for the knowledge that the "original" Alice and Clover in the "humanity is saved" timeline in ZTD will have to be killed, frozen forever, or awakened in good future 2074 with no idea what had happened. Old Akane's solution is literally a choice for Alice and Clover to determine if how many versions of them will be screwed over.