Weirdly enough, the time Shepard literally died isn't that emotionally fraught for her, so the memories are going to feature times where her death would have also meant the deaths of thousands or millions:

The Skyllian Blitz: As a very young officer, Shepard had her leave on Elysium, an idyllic colony world on the fringe of human space, interrupted by a massive pirate attack intended to kneecap human settlement in the region. She rallied and led the undertrained and underequipped colonial militia in a defense of the planet's capital. When their line broke at a critical position, Shepard held it single-handedly for hours until an Alliance task group arrived to relieve the colony. In the real world, she survived and was awarded the space future equivalent of the Medal of Honor. In the memory, she is going to be overwhelmed by the attackers. (Warnings for your standard mil sf violence vs. funny forehead aliens.)

Assault on the Collector Base: Only a few months ago, Shepard led a suicide mission against the technologically superior and extremely creepy bug aliens called the Collectors, who'd been stealing entire colonies and melting them down into genetic material because Reasons. The interior of the Collector base is reminiscent of a giant, creepy beehive slash termite mound, filled with humanoid bug monsters who want nothing more than to kill the crap out of Shepard & co. Against all odds, she and her crew survived it, but in the memory, they will be overwhelmed and killed. (Warning for more of the usual mil sf violence and some H. R. Giger-lite body horror/creature and environment design.)