The story is made to seem like you as the listener is being talked directly to by the documentarian, and heavily blurs the lines between the story and the real world
In the second season there is a big plot point surrounding large swarms and nests of dangerous bugs. If you are afraid of bugs, I would suggest not listening (they are that important to the plot)
SPOILERS:
As of the end of season 4 a character has a foot amputated after a severe injury becomes infected without access to medical aid. There are descriptions of the injury but the actual procedure is performed off-audio in a hospital
[SPOILER] Not done to anyone, but multiple times fingers are mutilated as the character gets dragged away by the monster as they try to hang onto something.
[SPOILER]
Jónas dies at the end of the second season (as far as the audience knows) and he is a father of two girls. there are multiple sections where he writes to his daughters or leaves voice recordings for them knowing that he will die.
Lucas in the third season is said to have harmed himself by cutting up his hands and arms. This occurs in episode 3.9 Collapse when Dr. Liu and Dr. Guerrero jump Lucas in the cave.