"Lake Ponchartrain" by Ludo has at least four, count 'em FOUR layers of potential Fridge Horror: Layer 1: Straight up—guy murders his friends, is being interrogated, insists he has nothing to hide, whole story is a cover-up. Layer 2: (and to me the creepiest) Guy murders his friends and dumps their bodies in the titular Lake, then his brain weaves the "horror story" to create madness and soften the blow Layer 3: Story actually happens exactly as described, guy is picked up by the police on suspicion of murder, but tells them the story and really is not guilty Layer 4: Story actually happens exactly as described, but narrator is describing this to someone else entirely, or diarizing it (or, for that matter, writing a song about it!)
Actually, their whole "Broken Bride" EP counts for me. First couple of listens, it was an awesome story. But then you realize everything that the narrator has given up just in order to see his wife again. He creates a time machine, explodes it in order to save the future, and his only wish for a reward is to see his wife again the morning that she died in a car accident. He doesn't stop her, just gets into the car with her, killing himself also.
It took me a while to realise exactly why he chooses to die along with his wife in the crash, as opposed to just stopping her. It's because after fighting demons and dinosaurs, and witnessing the end of the world, he's completely traumatised. A death with the one he loves is preferable to him than living with those memories.
See, I just figured he realized on his adventures that he couldn't possibly alter the timeline to save her life - hence the line "I couldn't save her, I know she will die." A time paradox may be at work here...