There is a fair share of creepy things in general, but what really gets to some people is the White Rider's horse, which is covered in eyes. (By Body Horror standards that's really pretty tame, but eyes appearing where they shouldn't causes a strong reaction in a lot of people, not unlike the infamous Lotusboob photoshop. And if you don't know what that is, good for you.)
Once the Apollyon descend upon the Capital, just about everything gets much more horrific, especially since the bugs actively target the people using the Luck Locusts. The very concept of giant, immortal bugs of death attacking the victims of the latest fad makes one wonder how many victims the Capital saw.
The whole nightmarish existence of the women who were sent to the Tento Lords as part of their reproduction cycle. A government official issues a Case File for you to infiltrate a Tento Lord stronghold and slip one such woman a packet of poison. Even just the glimpse of what you see through the walls reveals the process is indescribably painful and humiliating. These women are shipped to die in the Lords' caves, never to see the light of day again, for their families to gain the power of the Luck Locusts.
