Anger Born of Worry: Al punches Ed after Scar gets away, calling him an idiot for not running.
Big Brother Instinct: Ed refuses to run away to make sure that Scar won't harm Al.
Bittersweet Ending: Scar has escaped and Ed and Al are in pieces, so to speak. But nonetheless, the two are alive and now have allies who don't judge them for their past taboo. What's more, the brothers have moved past their Heroic BSoD and have found the resolve to keep moving forward.
Can't Kill You, Still Need You: The homunculus say this in regards to Edward who interferes with their plans but they can't kill him because he's a sacrifice for their plans.
Deer in the Headlights: Ed has a brief moment where he freezes in fear as Scar attacks him. He manages to snap out of in time to run for a bit.
Foreshadowing: Lust's complete indifference to Shou Tucker's death can be attributed to the Homunculi's antipathy towards humans in general, but it's given new context eight episodes later when it's revealed that the Military had already successfully created healthy human/animal chimeras by the time of Tucker's present assessment, rendering what he did to Nina and Alexander pointless.
Finger-Tenting: Mustang does this while explaining the Ishvalan war and Scar’s motives.
Gray Rain of Depression: Rather fittingly, considering the title of the episode and the events of the previous one.
Heroic BSoD: Ed is still in his from last episode until Scar confronts both him and Al and his fight-or-flight reflexes snap him out of it. Even then, he's still not completely out; he intentionally doesn't fight back when Scar's about to deal the killing blow in a misguided attempt to protect Al, only surviving due to Mustang's intervention.
No Escape but Down: Scar manages to escape Mustang, Armstrong and the other soldiers by punching a huge hole in the ground.
Oh, Crap!: When Mustang realizes that Scar may target Ed (and also his prior reaction to learning Scar actually took out Basque Grand).
Rule of Symbolism: The better part of the episode takes place during a rain storm, reflecting Ed and Al's grief at losing Nina. Towards the end, after surviving Scar and gaining new allies, the rain lets up and turns into sunny weather, reflecting the boys moving past their grieving stage.
Stealth Pun: Ed spends a good deal of the episode dealing with his Heroic BSoD after being unable to save Nina, before being confronted by Scar. This episode is about Ed battling his recent Scar.
The Worf Effect: Acknowledged in-story when Hughes briefs Roy on Scar's killings — including Basque Grand. Roy's absolutely shocked he managed to take out the Iron Blood Alchemist, citing Grand's background in weapons transmutation. Hughes points out this only underscores just how dangerous Scar is.
You Got Guts: Scar says this when Ed and Al try to rush him.
