From the very first chapter, the Youma that took Zaki's identity and its attack on Raki. Zaki's memories are still active within the monster's body, forcing it to cry. Zaki can watch, but can't act on what the Youma is going to do. Now that is horrifying.
Priscilla's Awakening and then her killing of Noel and Sophia counts.
The death scene of Raquel.
The torture scene with Jean, Katea, Dauf, and Riful.
The deaths of Veronica, Undine, Flora, and Jean in the North.
Clare's Awakening against Rigaldo.
Agatha's Awakened form and her attack on Rabona.
Almost any scene with the Abyss Feeders.
Most of the scenes with the parasitic rod creatures and Raciella's true form.
Special mention goes to how Clare got assimilated by the Destroyer, which involved the lower half of her body being infected and basically detached from the upper part of her body, with the remainder of her body being infected after that.
The Abyss Eaters. First, they are created out of human women, and look like those, only almost nakedand with their eyes and mouths sewn shut. In contrast to their looks, their behaviour retains not even the faintest traces of humanity or even individuality - they're reduced to mindless predators. What has been done to them is bad enough, but nothing compared to what they can do to you: They are conditioned to crave the flesh of one particular individual, relentlessly tracking their target by scent. They have an immense Healing Factor and even if you manage to take them out, they will retreat if more than half of them are killed, only for their numbers to be replenished by their creators. When they do so, they scatter into all directions, so the best you can do is to follow and kill a single one of them. No matter how many times you kill them, they just keep coming, never allowing you any rest, wearing you down little by little. They also share their experience, so that they get better and better at fighting you, until they eat you alive.
Imagine coming home to find your mother lying on the floor dead, ripped open, with your father eating her insides. Welcome to the typical Claymore backstory.
All of Cassandra's scenes with Roxanne in 120 after she awakens.Nasty. Just... ew.
Even though the anime adaptation is a pretty accurate representation of the first nine or so volumes of the manga, there are just some scenes that are made all the more squeamish when put in full color and motion.
When Clare, Miria, Helen, and Deneve are sent to fight a voracious eater, which actually turns out to be a male awakened being due to the organizations "misinformation", Clare, Helen, and Deneve are all struck down. Miria fights the monster with her phantom technique, but she is eventually pinned down by the awakened being, which then proceeds to impale her with its tongue, making her writhe in utter agony as it supposedly probes around inside of Miria.
Sophia and Noel's deaths are depicted quite gruesomely in the anime.
We find out what goes into making Yoma and Claymores in 126. It involves vivisection and brain parasites. In that order. Sweet dreams.