The Normal Ending, showing Juan trying to enjoy life but heavily hinting that there's something missing. But especially the coda, where the solitary Juan passes to the afterlife and is finally reunited with El Presidente's Daughter, both of them skeletons.
Watching the Happy Ending and then the Normal Ending out of curiosity can lead to extra sadness. Seeing all the scenes where Lupita is supposed to be just...
The backstories of both the El Trio De Los Muertes, Jaguar Javier and El Muneco.
The former didn't really want to be villains: These three are just trying to bring their poor lost bandmate, Pedro, back. After you kill them for good, you walk up to them, and the three of them cry out in happiness, thinking that you're their lost friend as they pass into the afterlife for good.
Jaguar Javier was once an honorable luchador like you. But when Calaca came, his cowardice led him to become a villain. Beating him lets him hope again, that humanity might survive tomorrow. He stays to lick his wounds, and hopes that he hasn't disgraced his old master. Uay Chivo then comes in, and when he sees Javier he asks him to punch Calaca in the face hard, making it very clear who that old master was and why he fights just like you.
The implications for Jaguar are even worse once you finally defeat him. Atop of Sierra Morena you see a corpse wrapped and laid on a pedestal heavily implying Calaca killed someone Jaguar Javier loved just to show he'd keep good word on his threat if Jaguar declined or got cold feet.
In the sequel, it turns out the fact that Juan survived the fight with Calaca is the only thing that prevented Javier from losing hope and becoming The Dragon to the next villain that came along. Salvador has an alternate Javier on his team and during the boss fight he summons two more. What makes it worse is that Salvador didn't even need to threaten Uay Chivo to make them work for him, the alternate Javiers were just that broken by Juan's death in their timelines.
El Muneco became a villain just to become friends with Salvador; later, Salvador tells him he doesn't need friends, making him fly away depressed.
