In episode 4, when Yuri watches the Yellow Knife--wearing the body of Kasumi's older brother--use its duck-billed snout to lift up Kasumi's shirt and enter her abdomen head first. The prone and unconscious Kasumi's response? Giggle and call out to her brother.
Nowhere is there a more textbook warning to the consequences of breaking the cutie than when Yuri snaps after being attacked by a trio of alien-wearing boys...the boys, Yuri and Yuri's teacher are the only things that leave that Alien Storeroom alive. She doesn't stop there though: she returns to the Alien Party room and kills her teammate's empathic alien helmets/partners, who are too paralyzed with her panic attack to resist.
This becomes especially horrific when you view the sequence with the boys' aliens stabbing through Yuri's borg as a metaphor for rape. It gets even worse when you realize that except for her friends, nobody cares that Yuri has been through this experience. Her teacher is more upset about what'll do to her reputation and the dead borgs; her mother just thinks she's overreacting (though in mom's favor, she may not know the whole story); and another teacher Yuri goes to for help tells her to basically "get over it" and do her duty. Yuri does get to spend a nice summer with her friends, but at the end, has to go right back into the same situation that traumatized her in the first place.
Borgs look like amphibian heads with baleen instead of teeth, they have tongues that look like they have mouths of their own (i.e. snake-like) and their diet consists of the sweat off their hosts' backs, which they obtain by licking them. If that wasn't bad enough, the Borg are worn like helmets, their "hands" acting as ear protectors and what holds them in place on the wearer's head. The underside of a Borg--the side that makes contact with the host-- is red and nodule-covered...although it is dry, it still looks enough like an orifice to be squick-y. This is even lampshaded: in a poll of schoolgirls, 78% said they didn't want to join an Alien Party because of the attached-to-a-disgusting-alien part.
The OVA anime Alien Nine has this trope based around the main character's whole personality. Unlike the girls she is teamed up with, she is honestly terrified and paranoid about her mandatory job to capture the invading aliens at her school whilst everyone around her believes otherwise. Their advisor only cares about her job's reputation, but it's revealed the other girls are just as afraid as she is, and are simply doing the job to cover up their psycological problems. Her fear and constant crying is often put against her by some viewers (and readers of the manga), however. But look at her! These are a bunch of underaged middle-schoolers put up against the risk of getting slaughtered. The aliens are frightening and grotesque looking, along with the fact that they have put these slimy creatures on their heads for defense (again with the main character; she fainted when her personal one licked her). And always when the poor heroine seems like she's getting better, things just get worse from a near-death experience to having a friend mutate into something that well, will also want to kill her too. And let's not forget the manga in which the situations are more extreme and detailed compared to the anime, which mind you, ends with a bloody downer ending that happened in the second-to-last volume of the manga. The events of the anime were compressed and cut. In fact, a lot of the works by Hitoshi Tomizawa are Nightmare Fuel worthy, as they usually feature little girls in disturbing situations.
Oh God, Chapters 18 and 19 of the manga, Yuri Has lost her Borg and has been reduced to an infantile state. Kasumi and Kumi go into a forest filled with aliens to find it. The manga descends into utter horror as Kasumi EVISCERATES monster after monster with her drills and an innocent smile, while Kumi HAS HER ARM TORN OFF to reveal a mass of writhing drills similar to what her borg uses, as she crumples to her knees crying. The worst part? Their teacher planned to send them to the forest at some point, just not so early. It ends with Kumi escaping the forest crawling away on hands and knees from a giant in worm in terror, as Kasumi kills it while their teacher looks on. It's heartrending, chilling, and brutal.
It is probably worth remembering that we get hints of the stuff in the above spoiler early on in the series--from the teacher herself. It's not explicitly said, but she was part of an Alien Party herself, when she was their age...and that she got the desirable end state. Oh, and there's actually hints all through the series that this state is to be become a seamless, unified being with your borg... Now reread/rewatch it with this in mind.
Miss Okada's extra story in Emulators, She told a scary story to one of her and Hisakawa's friends, it leaves the lampshade hanging on whether its true or not, but Miss Hisakawa shows up with a bandage over her cheek, which was supposedly the same cheek Okada shot with three tranquilizers.