The end of chapter 1, where Kazuma Shinguji, the Demon King, kills Shinnosuke Yamazaki (aka Aoi Satan). Consider the scene: Yamazaki is revived by Kyogoku only to be defeated by the Flower Division. Then, he's abruptly stabbed in the stomach. Granted, they were comrades in the past and died years before the Imperial Combat Revue was formed, but seeing Yamazaki getting stabbed by the Demon King is not only sad but horrifying.
Suiko's assassination attempt on Yoneda involves her being disguised as Saki Kageyama and later using a sniper rifle to shoot him from far away.
The scene where Kyogoku resurrects Musashi towards the end of the game. When the gigantic Musashi comes down on Tokyo via the energy beams, the citizens flee in terror as Kyogoku commands the demons to attack the city. And it's all set under an ominous, cloudy sky. Kohei Tanaka's score also doesn't help.