Nausea Fuel / Nightmare Fuel: One scene has Steele threatening his love interest (actually Brad's Real Life wife) by threatening to kill her like he did his ex girlfriend. He does this by showing her the body of his ex, which is locked away in a room bathed in Red lighting, then proceeds to have sex with his current girlfriend in front of the dead body.
The heart removal scene from the end of part 4, set to Neil Young's "Heart of Gold".
What an Idiot!: During the chase scene in Part 1, the hooker runs into an alley and looks around the corner. As soon as Zalman appears, what she should have done was pull back... what she did do was keep looking, allowing him to see her.