The Coup de grâce most frequently involves an egregiously bloody or over-the-top moment that makes the audience shriek in disbelief and revulsion. It could be a sting-in-the-tail/tale, or it could be the moment that precipitates the climactic chase of the final girl. Or it could be the (colorful and violent) death of the antagonist (Friday the 13th ).
And we certainly never expected the villain to actually explode and soil the carpet (and the walls, and the ceiling, and the bed sheets, and etc....) in Brian De Palma's The Fury (1978).
That's just...incredibly disturbing.
No slasher movie is truly complete without a really great Coup de grâce.