While a Nazi military armed with advanced technology is certainly scary, the world that they have created is much more disturbing. While exploring the sewers near the resistance HQ, you can overhear a woman reporting her neighbor's son to the police for deviant behavior... since she saw him trying on his mother's lipstick!
In one scene, B.J. is forced to take a "purity" test by Frau Engel and her consort, who determine him to be perfectly Aryan at a glance. Of course, since B.J is an American of Polish descent (and Jewish on his mother's side, according to Word of God), he doesn't live up to the Nazi idea of the Master Race. There is a sense of dread throughout the sequence, deliberately invoked by Frau Engel - her intention is to cause people to lose their nerve, go for her gold-played Luger, and promptly get stomped on the face by her guard robot. Theoretically, only non-Aryans would have cause to lose their cool. Theoretically.
The day that B.J. well and truly wakes up and regains control of his body, the Nazis come in to close the place down after years and years of taking patients to apparently be experimented on. While they don't harm the staff (at first) they take care of the inmates by shooting them. The subsequent level as B.J. escapes is littered with the bodies of mental patients butchered in their rooms, and dead staff that may have tried to fight back. What makes it even worse is that it takes place during the day and the interior of the building is bright and warm and friendly, making the bloodshed all the more nightmarish.
The scene in the "Nowhere to Run" trailer showing that fouls in football are now punished by summary execution (for non-Aryans, at least - the ref and the injured player are both German, while the executed player is a dark-skinned Brazilian) is a pretty horrific example of Nazi cruelty.
Frau Engel: For your crime, you will die like vermin. I will hunt you down. At the end of the earth, I will find you. Your skin charred and your fats rendered. Your kind exterminated. In the end, I will feed your flesh to the furnace!
Despite its extreme over-the-topness, dieselpunk flair, and old school shooter hijinks, the game as a whole is a disturbingly realistic glimpse of life under Nazi rule. Whereas other World War II games like to focus on frontline combat and really just use the Nazis as something to shoot at, Wolfenstein actually has the guts to focus on how horrifying the Nazi ideology truly was, including such things as social Darwinism, genocide, eugenics, and human experimentation, all of which are showcased in game.
Later in the game when you need to steal a U-Boot to get to the secret Jewish sect tech cache, you are attacking the bridge. The commander even states, as you are tearing through his personnel like nothing, you are Just One Man in exasperation.
As well sometimes when there are large numbers of enemy soldiers and you kill all but one who was behind cover, they will shout out in terror as they attack you knowing they are doomed.
The machinations of the Nazis, particularly the Ubersoldats and Panzerhunds, are nigh-unstoppable forces for almost every human being that isn't B.J., and even he has to avoid the latter due to usually not being armed or ready to fight one directly early on. Not to mention the implications of just how many of these things were created to subjugate the world. Then you encounter an underground chamber filled with dormant Ubersoldats practically a stone's throw away from the resistance base. Left behind in an abandoned hall. Just waiting for the unwary explorer to awaken them from their long slumber.
The now notorious incinerator room sequence.
Wilhelm "Deathshead" StrasseHIMSELF! For his third and final appearance in the series, MachineGames went and turned him into a truly terrifying villain. Dwight Schultz gives possibly one of the most chilling voice performances of his career.
On that note, Strasse's ghoulish experiments. The flashback to the aforementioned incinerator room where you watch Fergus/Wyatt having his skull drilled open and his brain literally sucked into a jar while still conscious the whole time can be... difficult to watch.
His first appearance in the game. Hearing a knocking on the other side of a locked door, Wyatt and B.J. go to investigate. The window is opened from the other side to reveal Deathshead, inches from the glass, with an unblinking stare and a smile a little bit too broad to be normal. He continues to hold this expression even as the walls begin to close in...
Deathshead: "What are you people doing in there?"
The man was already a Magnificent Bastard and the prior games showed up the former. It's just that in this series, his monstrosity is on display front and center.
Going to the moon is impressive. Setting up a moon base is a powerful statement of mankind's capabilities, and real-life space missions have been rooted in the desire to learn more about our universe and avoid nuclear war. Hearing about the Nazi moon-base can almost give you the feeling that maybe - just maybe - the Nazis actually did something good, or at least respectable. Before you get off the shuttle, you see a newspaper article about how they're already planning to start a labor camp on the moon, complete with robotic guards, from which escape would be totally impossible - and given how all the loyal personnel on the base end up asphyxiated in an attempt to catch you, you can assume they'd be even more trigger-happy with the prisoners if one actually managed to cause any trouble. And then there's the little fact that it's the nucleus of their space conquest plans, complete with an army of Space Marines, next-gen Super Soldiers, and storehouse nuclear weapon control codes. That's right, they managed to pervert a moon base from a symbol of peace, hope and discovery into one of militarism, hopelessness and oppression.
Towards the end of the game as you are rampaging through Deathshead's fortress as you go to climb up a ladder only to have Bubi leap out at you like a tiger and pump you full of some unidentified sedative. As the poison kicks in and B.J finds himself unable to walk or even move, Bubi taunts you by going into great detail about the sedative slowly stripping him of all his motor faculties, eventually leaving B.J just a non-responsive sack of flesh and bone. When Frau Engel appears on a computer screen, Bubi then disproves any thoughts you might have had about him and B.J when he pulls out a meat hook and impales you through the shoulder, dragging you along the floor and propping you up on the table as he begins to gut you alive for him and Engel's mutual pleasure! And he doesn't just stab you; you can actually hear and see him begin pulling the knife downwards before the sedative wears of, due to the shrapnel lodged in B.J's head. And after that B.J bites his ear off, slowly pulls the knife out of his chest as he towers above Bubi and then proceeds to Double Tap him in the head as Frau Engel hopelessly looks on and screams in dismay as her boyfriend is murdered by B.J. or bleeds out from the wound in his neck.
When you finally catch up to Wilhem "Deathshead" Strasse, there's just one thing standing between you and him...a prototype of his next generation of cyborg soldiers, which is, in the mad scientist's own words:
More specifically, it's a literalBrain in a Jar that's been plugged into a heavily-armored robot chassis, its numerous processes serving as an efficient CPU for the war machine's attack protocols. What's worse, the brain of the subject is still alive, and aware of the whole thing. They've got no control over their actions, and there's no hope for them to return to a normal life. The only thing that can be done is put them out of their misery.
And the worst part? The brain in question belongs to whomever of your old squad you were forced to select when Strasse forced you into a Sadistic Choice, and they've been trapped in this horrible existence for at least 14 years!
Even after you've finished off Strasse, there's still one little detail: the scientist-turned-warlord manages to grab Blazkowicz by the wrist, wheezing out his last words in a chilling laugh as he pops the pin on a live grenade!