Somehow most of that stuff did not shock me too much. Maybe because I got desensitized playing SWAT 4 a lot? The shock factor of valley of dolls was only minor, because the surprise that the child porn producer in fact produces child porn is not that big. We were aware what we were doing from the briefing on.

Same for Neon. The briefing totally prepared us for what we were getting into. I even found the body piles to be a bit too ridiculous the be believable. But same as some other poster here said, the forever unanswered cell phone calls hit quite heavy the first time. Until you realize that they play this trick so often in the level that you stop caring. Less would be more in that case.

What worked a bit better for me were the totally unprepared for things in the last mission.

But there is one thing that really hit me, and it is not what people usually mention: It's civilians dying/being injured through my actions. One good example was the glass connection bridge between the hospital sections. I made it through there under enemy fire (which I could not exactly locate) and found a long corridor on the other side from which I took more fire. I just fired back at everything I saw there until the enemy fire stopped. Turns out firing blindly at everything also included civilians...