Most monsters in Cephiro are born from the people's fear, including Lady Debonair.
Zagato and his minions are perfectly willing to kill three young girls to accomplish their goals. Granted, for Zagato, that goal is "save the love of his life and find some way to talk her down from this idea of assisted suicide and maybe find a way to free her from Pillar-dom", but even so, it's clearly a measure Emeraude is terrified of.
The monster of episode 8. It's Hikari, the cute fox Hikaru befriended. It reveals itself by bursting out of its skin, and its mouth is suddenly full of razor-sharp teeth.
The monster of episode 14 appears as a super fast column of light and abducts Umi, Fuu, and Mokona. Later, Hikaru runs through a field of thorns and falls into a ravine, causing her to bleed in the process. Realizing it can smell blood like a shark, Hikaru cuts her arm to lure it to her.
Caldina's magic involves illusions and People Puppets. When Fuu stops her from controlling Hikaru and Umi and draws her sword, Caldina just controls Fuu and sets her to kill her friends.
Cephiro slowly decaying as the series goes on. At first, the world is always in daylight and has beautiful scenery, but as time progresses earthquakes are more frequent, storms spring up, and it turns into Always Night.
The part in the anime where Nova disrupts the mystical process that Sierra is using to repair Hikaru's broken weapons and follows it via basically mind raping the half-conscious Hikaru for what feels like hours. (At least two episodes, in "real time".) Oh, and revealing that she is her Enemy Without.
The concept of the Pillar of Cephiro, once you think of it and then see the series. When you decide to step up and become Pillar, you are basically signing a deal where you will make a world prosperous and beautiful — but only if you completely renounce anything for yourself. It doesn't sound that bad, at least until you realize that if you slip up a little, if you have the tiniest desire for something only yours, even if this desire is otherwise "pure", healthy romantic love for another person, the world you've worked so hard to maintain and make flourish will collapse. And the only way to get that undone is summoning people from another world — so they can kill you. It's no wonder that Emeraude was perpetually crying — she went through all of it.
In the Sega Saturn game, all of the villains the girls face end up dead. Caldina's death is probably the worst—when aiming for the Magic Knights, she accidentally hits and kills Ascot. She attacks the girls in a rage but is defeated. As she begs them to kill her, Hikaru offers her a hand in friendship instead. Caldina reaches out... and is instantly vaporized by Inouva.