In general, I really think it's better to give some kind of warning. As an anime fan, I GREATLY prefer spoilers to extremely unpleasant surprises. =/
But then, I understand the artistic dilemma that comes with deciding just how badly you should ruin the surprise...like Madoka Magica, which contains probably one of the most famous tone-switches of the last decade, probably would not have worked quite as well if there was a giant banner over the first episode going 'WARNING: This story contains some graphic violence and psych-horror elements'.
Although I think it's important to note that regardless, PMMM was rather tame. ^^; There was no gore, no explicit abuse, no particularly realistic traumas or dialogue that might actually trigger someone. The most realistic character arc was Kyoko's, and the worst parts were in the past and merely described with the aid of symbolic imagery.
All that is to say, if you decided not to put up content warnings for a story of that caliber, you're probably justified. Honestly, the creepy imagery was enough of a warning that it was not a kids' show (those Anthonys tipped me off long before Mami got killed...).
But if you ARE regularly going into darker territory than just that...I would suggest either putting up a general warning at the beginning of the story/chapter or letting people know in the episode immediately before, when it's already clear that 'things are going down'.
But if you are going to warn, always describe what you're warning about to some extent. I hate it when authors just put up nondescript 'Mature' tags. Like, what am I walking into exactly?? Some girl saying she might want to kill herself or a straight-up rape scene?? Sometimes I just skip the chapter or leave the story entirely because it's not worth the risk.