Such are the Unfortunate Implications of being friends with a Mystery Magnet: just imagine how much personal pain, trauma and suffering some of the characters bear, especially Mac and Aunt Prudence.
The weaponized sauna.
Also, after Phryne shuts off the steam and is saved by Jack, the Turkish bath house explodes five minutes after they leave. While there were no reported casualties, there had to be some collateral damage.
Death at Victoria Dock
Peter's scream when he gets shot in the kneecap by the anarchist gangster's BAR. Also, he got shot in the kneecap.
The ghost of Dorothea haunting the backstage, followed by a note saying 'You will pay for your sins' and a line of sand that mysteriously disappears minutes later. And then Walter Copland dies.
In hindsight, Maurice Stevens' fanatical devotion to Dorothea. He kills Dorothea when Bart Tarrant comes back into the picture and appears to be successfully wooing her back. Then he sets out to ruin Bart by making Ruddigore appear to be cursed, playing on the superstitiousness of the actors. And he succeeded, partly by accident. And he did all of this because of Dorothea.
Murder in Montparnasse
The idea that you can get killed by someone you saw nearly a decade ago about something you didn't even know happened.
The killer setting Ronnie's bed on fire, while he sleeps. How long did it take him to realize he was going to die?
Away with the Fairies
The death of Marcella Lavender and her bird. The episode starts off innocently enough, but when Miss Lavender opens her music box, her bird dies, followed by Miss Lavender. The suddenness of the death, followed by her throat turning blue...
Queen of the Flowers
Rose's confession that her grandfather first sold her to Mayor Phillips for sexual favors, then Kitty. The way she downplays the full extent of what happened with her and Mayor Philips ("It only happened once.") while leaving out how many times it 'happened' with Kitty is terrifying.
Mayor Philips attempted to make his murders look like suicides. Kitty was killed by forcing her down into the water with his boot, and Rose was forced to write a suicide note and take sleeping pills at gunpoint.
Jane's mother suffers from delusions and paranoia, perhaps schizophrenia. She locks Jane in with her in a terrified effort to "protect" her, and then tries to commit suicide. It's not clear if she meant to take Jane with her or if Jane was simply trying to stop her, but either way the situation could easily have led to the deaths of both... especially since Anna's landlord states that he was trying to get into her apartment because he smelled gas.
Murdoch Foyle. Even behind bars and in handcuffs, he's quite an unsettling figure.
My day of resurrection will come whether you help me or not, Phryne Fisher!
Dot almost meets the same fate as Daisy, as does the killer.
Blood and Circuses
Murdoch Foyle has escaped from prison. Let that sink in for a moment.
The animal tranquilizer plan, while genius, relied on the bodies not being claimed. Jack says that Foyle's body was claimed (not true), and his mother asked for him to be cremated. This brings up the image of being burnt alive, while not being able to do anything about it.
King Memses' Curse
The opening scene where Murdoch Foyle performs an excerebation on one of his victims. The truly horrifying part is he is awake and aware throughout the whole thing.
The entire scene where Murdoch Foyle waltzes into Phryne's house, all of her friends lying paralyzed from a drug he slipped into their milk and forced to watch helplessly as he carries Jane away.
''"Give Miss Fisher my regards."
The entire premise: a man can run a white slavery ring, smuggle wayward girls out of a convent school, and kill one when she escapes, all without fear of consequences. Why? Because the girls are rejected by society, the school is more interested in discipline than their well being (aside from the school official who's acting as accomplice), and he has a prominent figure in the city government to make any police investigation go away.