Conrad's Death
The image of young and sickly Conrad crushed under a massive helmet is a powerful image for three reasons. First, it is strange and seemingly incomprehensible; this adds to the mysteriousness of the novel. Second, it is brutal and shocking, foreshadowing the other examples of violence in the novel and the eventual brutal and shocking end to the rule of Manfred over Otranto. Third, it alludes to soldiers and conquests and crusades, which roots it firmly in Alfonso's heir's return.
Below the Castle
The image of the lovely and frightened Isabella making her way in the darkness through the labyrinthine passages of the castle is powerful because 1) it is a trope of the Gothic to place characters in scary and dark places 2) it is a claustrophobic space that is a microcosm of the claustrophobic space of the whole novel, and 3) it allows Walpole to give his character a "naturalistic" reaction to something frightening and putatively supernatural.
Matilda Dying
Matilda's death scene is almost laughably cliche. She is stabbed by her father and falls to the ground, where everyone gathers around her. She is beautiful and virtuous even in her death throes, forgiving her father magnanimously and proclaiming her love for Theodore. She is the ultimate picture of female purity and sacrifice; one can imagine her garbed in white, her lovely eyes closing as she expires prettily. This tragic death scene is a trope of the Gothic.
Theodore's Mark
When Theodore kneels down to die by Manfred's hand, he pulls his shirt aside to reveal a mark of an arrow on his shoulder. One can picture this handsome and noble young man ready to meet his death; and, as if that was not a poignant enough image, the venerable Jerome sees the mark and bursts out that Theodore is his long-lost son. This is an extremely dramatic and powerful image.