There are several areas in the game where special death scenes occur for your character if you trigger them:
-In the hospital, let yourself to be killed by the nurses. The screen will go black, and then it will show Heather lying on the ground, as a male doctor zombie shambles up, grabs and widely spreads her legs, and drags her off into the darkness.
-At the last area, after Claudia kills Vincent and the exchange between Heather and Claudia ensues, equip a weapon and attack Claudia with it. Heather will then begin to bleed out and birth the "God". This is not really an ending since it counts as a "Game Over", but is a gruesome ending nonetheless.
-While in the subway, jump down onto the tracks and run all the way to the end of them, into the tunnel. Heather will be run over by the train, accompanied by nauseating sound effects.
-When on the train, justy turn around and exit through the door in the rear of any car. Heather will be on the very end of the train. If you move forward towards the edge, a first-person cut scene will occur in which Heather falls from the train onto the tracks, and dies.
There are other death scenes located in specific areas in the game. Look for areas that seem significant (locations from previous games, for instance) and allow yourself to be killed.