The Pillar of Skulls. It's a massive tower made up of the skulls of Manipulative BastardConsummate Liars who are aware and screaming in agony. If you have Annah in your party, you can find Pharod's skull in there, who only appears for a few moments while crying out to Annah for mercy. It's also where Morte came from... and you can shove him back in.You can go into it yourself, though not permanently -- the skulls just eat you alive before spitting you back out, represented by a huge drop in maximum HP.
The shadows. They're horrific undead monstrosities that are actually the souls of people who died to balance Death's books and fuel the Nameless One's immortality. Think about how many shadows you see throughout the game, and how twisted, warped, and hateful they are. They used to be ordinary people. Also doubles as Fridge Horror.
Ingress, who was living a happy life in her world. Then, one day, she passed between two trees while whistling a tune, and it turned out to be an one-way portal to Sigil activated by this particular tune. By the time you meet her, she's been trying to get out for a very long time, and after scarring experiences on several horrible planes she's utterly paranoid about anything that could conceivably be a portal. Now imagine all that happening to you.
Everything about playing an evil Nameless One. It isn't like in other games, where you play an "evil" character by going on bloody rampages, being selfish, or being mean in a hilarious fashion. Being evil in Planescape: Torment is just an endless depressing march of sociopathic cruelty. It has been said that the only way to be evil in this game without being so beaten down as to quit is either to skip through all the dialogue and not look at the horrible things you are doing, or to genuinely be a psychopath.
The memory in the sensory stone called "Messenger". It is a highly descriptive look at Ravel the Night Hag's cruelty through the eyes (so to speak...) of one of her victims... and she was being merciful.
Some lesser sensory stones are rather unnerving as well, though nowhere near as horrifying as Messenger. Unavoidable Pain, for instance, shows the experience of a person who, while struggling in combat with an enemy, had their hand slowly pushed into a lava floe.
In the hall of the Sensates, a faction of people dedicated to experiencing everything, is a grizzled old man named Ghysis who is a veteran of the Blood War, the eternal war between devils and demons. He's spending the rest of his days lecturing to anyone who will listen about what the Blood War is in the hopes of preventing others from making the mistake he did and signing up for a tour of service. And the stories he has to tell are truly chilling, and serve to make one of the several endings of the game even more powerful.