Dementius in general is terrifying. In the backstory alone, he devoured the souls of innocents in an attack on Venice. This does not let up in the main game below.
In Sally's backstory, she ended up being to slow when it came to evacuating the building under attack by a villain and as of a result, was gravely injured in said attack. Given how in the modern day she has had her limbs and other parts of her replaced, does not paint a pretty picture of her injuries in the attack.
The extra-dimensional beast from Finn's backstory. It is essentially a giant aggressive and carnivorous slug with no sense of morality. It ended swallowing Finn when he let himself get caught to save Celia. Worse, said beast almost considering swallowing Celia too. It does not help he called Celia "the weaker prey" and wonder why Finn didn't sacrifice her.
The fact Dawn and her "sisters" were made by a doomsday cult and proceeded to rampage through Albuquerque in Dawn's backstory. Also The Sister Of Pride melting into sludge in public in said backstory is also unsettling.
The fact that Zach's abusive father sold him to a cult alone is terrifying. It does not help after Zach was tattooed with the ink he may have killed his dad since all that was left of him was a puddle of blood.
Cendrillon's attack on Squad Three has deeper, more horrifying reasons. By the end of the fight, she manages to unlock Ash's unknown power, namely the ability to ribbon her own skin and use it offensively. It's basically self flaying weaponized. Body Horror doesn't even describe it properly.
Cendrillon attacking Rebecca involved triggering her phobia of guns...and then Van attacked the villain by skewering her arm with a bunch of "blood scythes". Cendrillon winds up grossly forcing the scythes out of her arm, which involves a lot of gross imagery.
Shane at first was the comically horny, typically "dudebro" type jock character...but throughout, he's shown hints of a darker side. And only during the start of the villain attack arc does this come into play. He contemplates pilfering scandalous material or murdering militants by teleporting into their residences, and has shown a certain amount of ruthless pragmatism in battle.
Squad 1 ends up trapped in a barrier with a nuclear device that resists their efforts to disarm it. Other students arrive in the nearby note with the yield of a nuclear device, alot is nearby nurse's office, non the wiser. When things look grim, Yoko begins to take the squad through a portal to evacuate, leaving the device to annihilate everything around.
In the Bad Future, apparently Gaea has won and now controls a majority of the known world. Anti-Meta Humanism is the norm, and only six members of Class 1 are even accounted for. The resulting fights were so disastrous, in some cases, it permanently changed the climate of the place they fought. Sam's fight alone turned the entire east coast into a frozen wasteland. And that's not even the worst place! Not even counting what happened to Perry, Zach, Dante, Evelyn... It's a bad future for a reason.
Special Mention goes to Dante who, under the thralls of Dimentius, is blasted by Future!Mahvash to prevent him from losing himself just yet. The result? Dante vomits up several poisonous spiders. Which then all start laughing.
The fact that the Abyss has deemed the human world so far gone they think it better to invade and purge it. And the worst part? The heroes down in the Abyss AGREE.