Bigger Bad: ...possibly? The player is led to assume that the Slenderman is the Big Bad and the Chaser is The Dragon. But after trapping the Chaser in the mine and locking Slendy out of the radio tower, the player gets attacked by something else in the final cutscene. Something vaguely-humanoid, blueish, and bald, with a face.
Blue Isles Studios keeps hinting at a new monster for the next update as well.
The Dev Team Thinks of Everything: In Chapter 4: The Flashblack it's possible to get out of the path, reaching the end of the map and falling. An extra message from Slender Man will appear, and he'll catch you.
You can activate a debug mode that, among other things, lets you gain invincibility. If you try and use it in the secret chapter, the debug mode will ask you why do you want to do that, and won't let you.
Though if you get too close to Slender Man with God Mode on, you'll hear the Scare Chord and he'll... stare at you. Menacingly. And you can't move or do anything at that point; the only option is to disable god mode and lose.
Diegetic Interface: The Heads-Up Display is actually the screen for a digital camera that the player is carrying, which they visibly hold in front of them judging by their shadow. This also justifies the static that appears when Slenderman gets close (which would not affect the naked eye.)
Easter Egg: One of the rooms in the house has a poster which is an image from Subsistence one of the games being developed by Blue Isle Studios.
Foregone Conclusion: The flashback scene in Chapter 4. You know that Kate has been captured by the Slender Man, so you obviously can't win.
And Lauren appears on the loading screen for Stage 2.
Fore Shadowing: Wander around enough in the prologue and you'll find an abandoned wooden house. Inside there will be a deformed monster and approaching him will give you a Jump Scare. In the 1.5 new ending, you end up in that house, and the only way out is to approach the humanoid creature...
Gainax Ending: The final cutscene raises more questions than it answers. The extended ending in the updated version released on Steam fixes this somewhat.
A new visual distortion is the appearance of grainy, fish-eyed faced when Slendy gets close.
If you roam around in the woods at the prologue, you can find a broken, abandoned wooden house. If you go into it, you'll see a deformed, shirtless creature twitching violently as it stares at the wall. If you walk towards it, it'll turn around suddenly and flash images of the same blue creature that you might remember seeing at the final level of the game.
The Proxy/Masky in the "Into The Abyss" level has a habit of running up behind you whilst you're not paying attention and tackling you, leading to a close up on her deformed mask as she attacks you. Averted if you manage to see or hear her coming.
Kaizo Trap: The Chaser can catch you when you use the lift in the mine.
It's also possible to fall through the floor to your death when getting off at the top. The Steam release even has an achievement for this.
No OSHA Compliance: So, if there's a sudden power outage in your mine, the emergency protocol is to wander around in the dark looking for six generators hidden in remote corners of the mine, so that you can power the emergency lift and escape.
Offscreen Teleportation: Slenderman's schtick, of course. In the mines, the Chaser can also abruptly go from one area of the map to another in a way that should be physically impossible, but it does it much less than Slenderman does, and in a way that's not supposed to be noticeable.
Room Full of Crazy: Kate's room is filled with drawings of Slender Man all over the walls.
Scenery Porn: The outdoor scenery is spectacular to look at.
Scenic Tour Level: The opening to The Arrival has the Player Character, well, arrive at Kate's property. Thanks to a tree fallen into the road, the player gets out of their car and must walk to Kate's house on foot, while the opening credits appear. It is late afternoon on an autumn forest trail, and is actually kind of pleasant. However, as the player nears the house, the sun goes down quickly, almost unnaturally so, setting an creepy tone by the time they reach the Ominously Open Front Door...
Though it is still possible to die in the prologue; Slender Man lurks outside of the house, and looking at him for too long will cause you to lose.
The Scream: Kate lets one loose at the end of the house level in The Arrival, once you reach her room and pick up a drawing of Slender Man.
CR also lets out a nasty, distorted one at the end of his camera recording.
Shoot the Shaggy Dog: CR is shown to be dead, burned alive in the hopes that it will stop Slender Man from "spreading". Kate has become the Proxy, and may have killed Lauren with the very end of the Steam rerelease showing her drag Lauren's limp form away. The boy from the missing poster at the start is implied to have turned into some kind of monster, and Slender Man is still going strong.