The flashback at the beginning of chapter 3 where we see Maria watching her captain die in the Russian Revolution in 1917. While exhausted under a raging inferno, Maria’s captain gets shot in the chest and falls to the ground, dead. Maria can only yell out the captain's name in shock as she rushes towards him. War Is Hell, indeed.
Those with astraphobia (fear of thunder) will be unnerved by the scene in chapter 7 where Sakura arrives just as her friends disguise themselves as ghosts to surprise her, only for a lightning strike to trigger her Fear of Thunder.
The origins of how they developed such phobias can also count and Kanna and Sumire did mention that those were stuff of nightmares on their own: Kanna got bitten by a snake while being alone with no nearby help (and she thought her father was too training-obsessed to care), Sumire encountered the spider (though thankfully not bitten) when she's alone in her birthday party, on top of being distressed that her parents never came for her. Their fear became understandable not because it's just a creepy dangerous creature, they symbolized the fears of being thrusted into immediate life-threatening danger with no one to help you.
Kohran's past involving her family's death can catch those with pyrophobia (fear of fire) off-guard.
Ayame's One-Winged Angel transformation into Aya-me towards the end of the game. Before that, she strangles Ogami with her two bare hands to the point where he's almost suffocating. Then, when Satan captures Ayame, the latter desperately pleads with Ogami to shoot her down. Seconds later, after Satan kisses Ayame, she transforms into a long-haired fallen angel with wings and lets out an evil chuckle after that.
Aoi Satan's own One-Winged Angel reveal as Satan. If you didn't catch the demon vibe, Satan goes from a man in a simple blue robe into a gigantic, fanged, winged devil with two horns boasting about how he's going to destroy everything. Yikes.
