The 3rd Birthday/YMMV

Base Breaker: Aya's apparent Chickification. Although the truth is more complicated...
High Octane Nightmare Fuel: So, you have to fight a giant Eldritch Abomination inside... another Eldritch Abomination, while floating around in what seems to be rather beautiful sphere. You shoot at it... a LOT, and this thing slowly approaches you without twitching. When near you, it paralyzes you with its Frickin' Laser Beams, catches you with its tentacles and eats you whole. Your only hope of survival is to transfer to another body. From there the whole pattern begins anew, all while you have to witness how the monster eats your former body, gallons of blood and the sound of bones being crunched included. Well, that's The 3rd Birthday. Oh, the horror...
- It doesn't help either that Aya's expression at the sight of this thing is blank horror...
- From the soldiers' perspective, the fight with Hyde could easily qualify as this. One of the soldiers randomly walks up to him and Hyde starts talking to him for no visible reason. The soldier suddenly raises his gun to shoot, and Hyde Armor Piercing Slaps him to the ground. Right afterwards, he transforms into some kind of half-Twisted monster with disproportionate limbs and tentacles sprouting out of its back. I'd be freaked out...
- A bit of Fridge Horror here: I'm sure many of us have dived out of a dying soldier - and heard the screams - but what do you think the soldier him/herself went through? If they are conscious when Aya possesses them, that's kinda creepy, but it's worse if they're not. One moment you're in cover, a fellow soldier stumbles for a moment, the next you're squirming on the ground with blood pouring out of every orifice.
Nintendo Hard: You can die a few times even during Easy mode.
Tear Jerker: The Ending. Eve was already a woobie when she was created in the second game. After she finally had the chance of happiness, it was all taken away in a snap, and she even cause all the incident to happen. It's just... Heartwrenching.
That One Boss / "Wake-Up Call" Boss: Easily many of them are, depending on how well your DNA board is customized and how well you've kept up with upgrading your weapons.
Unfortunate Implications: Graituous shower scene (granted, the second game had one too), fanservicey-costumes that can get torn off enough to see her underwear, an Overdrive system usually involving Aya to take possession of a male soldier in order to defend herself...
- Even more so when you realize she's actually Eve; a minor inhabiting the body of an adult, and treated by both the game and the characters as Ms. Fanservice.
The Woobie: Eve. The poor kid is in dire need of a hug. She just wanted to save her sister, but she inadvertently started a whole mess of other problems.