In one scene, B.J. is actually forced to take a "purity" test by a couple of officers, although they claim that it is not a serious test and just a bit of fun and games. Of course, B.J is an American of Polish descent (and Jewish on his mother's side, according to Word of God) and therefore probably wouldn't live up the Nazi idea of the Master Race. There is a sense of dread throughout the sequence.
The day that B.J. well and truly wakes up and gets his sanity back, 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, racial extermination, eugenics, and human experimentation, all of which are showcased in game.
Later in the game when you need to steal a u-boat 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 probably final appearance in the series, Machine Games 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...
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. That's right, they managed to pervert a moon base from a symbol of hope and discovery into one of hopelessness and oppression.