These are what we call the 'YMMV items.' Things that some people find in this work. We call them 'your mileage might vary' because not everyone sees these things in the same way. This starts discussions in the trope lists, a thing we don't want. Please use the discussion page if you'd like to discuss any of these items.
Nightmare Fuel: Don't think about why Yuka has to leave the party near the end of the game for very long.
Ellie is left alone to guard Yuka's Mansion for a decade awaiting for her master to return, despite the fact that she never intended to return. Mind that she's living in the PC-98 Gensokyo where the sun no longer exists and almost everybody is gone.
In the sequel, it seems to be completely gone until it's mentioned that the PC-98 Gensokyo and the Windows Gensokyo fused. Meaning it got better.
Player Punch: The ending of Sanae's first chapter, as well as pretty much any time the party runs into a victim of Unwilling Roboticisation. Each of these moments will likely increase your resolve to kill the monsters responsible.
Don't forget losing half the party before the final dungeon.
Reading Mima's final message wherein she says good-bye to the old Gensokyo before going to sleep.
Most notably is the final battle wherein Reimu and Marisa (and guest member Tenshi) have been planted inside robot bodies and EVERYONE in Gensokyo attacks them, thinking they're the enemy. They do NOT fight back and their allies slowly begin to realize what they're doing, one-by-one. All it takes is thinking of the attack line, "Alice... suddenly began crying!" to bring the tears back.