For me, the saddest emotionally I have felt in the entire series was when Esmi found Thelli dead and ranted to the gods that it doesn't hurt Kellhus at all when they do this, it only hurts her. That really struck a chord with me. But I wasn't appalled, per se, just empathetic. Very good writing there. The most appalling is probably a tie between the Kellhus-Proyas rape scene or the fact that every one is damned beside Mimara, and I don't really even like Mimara that much.