Harsher in Hindsight: The short story "Good Old Neon" from the collection Oblivion details the life of an extremely intelligent and self-aware man who after a long struggle with depression commits suicide, including several paragraphs detailing his final decision to do so, his thoughts as he prepares, etc. Disturbing to begin with, really uncomfortable since Wallace's suicide after years of depression and failed treatments.
"The Depressed Person" from the earlier collection Brief Interviews With Hideous Men has a similar effect. Although the character is a woman and an ordinary office worker, you can, in hindsight, see very plainly that Wallace writes from his own personal experience. Since he was writing even earlier in his career, the story's ending—with the title character opening up to one person and then just leaving it there hanging—is all the more heartbreaking, as you start to think What Could Have Been (and worse, what might have not been).
"Up, Simba", mentioned below, becomes rather cringeworthy in the wake of John McCain's 2008 Presidential campaign (the essay is about Mc Cain's 2000 campaign).
"Host", the 2005 about conservative talk radio host John Ziegler, gets almost unreadably cringe-inducing in the wake of the rise of the Tea Party— not to mention this descriptions of the show's ads after the 2008 financial crisis:
"As of spring '04, though, the most frequent and concussive ads on KFI are for mortgage and home-refi companies—Green Light Financial, HMS Capital, Home Field Financial, Benchmark Lending. Over and over. Pacific Home Financial, U.S. Mortgage Capital, Crestline Funding, Advantix Lending. Reverse mortgages, negative amortization, adjustable rates, APR, FICO … where did all these firms come from? What were these guys doing five years ago? Why is KFI's audience seen as so especially ripe and ready for refi? Betterloans.com, lendingtree.com, Union Bank of California, on and on and on."
Hilarious in Hindsight: There's a fair number of these in some of his nonfiction, but one that stands out to the political set is in this quote from "Getting Away From Pretty Much Already Being Away From It All" (collected in A Supposedly Fun Thing I'll Never Do Again):
08/15/1730h.... Fifteen whole minutes both in- and outside the huge STATE COMPTROLLER ROLAND BURRIS tent fails to uncover the tent's function.
And more generally, while describing the writing material available at the State Fair Gift Shop:
08/15/0620h.... All they had was a little kid's tablet with that weird soft gray paper and some kind of purple brontosaurus-type character named Barney on the cover.
"Up, Simba" follows the primary campaign of a politician who was staggering in his refreshing honesty, ability to get young people involved in politics, and promises of change. Meaning, of course, John McCain.