Naturally, there's at least one Call of Cthulhu scenario (set in 1920s Germany) featuring a carnival jester who's really an Eldritch Abomination that's been traveling with the show incognito for years and causing various tragedies and disasters wherever they went.
In Cyberpunk 2020, one street gang you can run into on the streets of Night City is the Bozos. They are described as the sort of people who get plastic surgery to look like clowns permanently, who stay up all night watching horror flicks. And committing gruesome crimes. Advice for dealing with them is "Run!"
The supplement Heroes of Horror is about infusing your games with anything from a touch to an overdose of the macabre, the frightening, and the unnerving. One of the monsters introduced? The "gray jester". One of the scenarios provided? A gray jester and a hag enslaving and eating children.
The D&D third-party world Scarred Lands features the "Carnival Krewes" — a society of Monster Clowns.
Also on the D&D front is House Phiarlan of Eberron, an espionage-based clan/organization. One of their fronts is the Carnival of Shadows. The description claims they've enthralled Khorvaire for decades, but looking at the picture provided (everyone has angry faces and the animal act includes an always Neutral Evil monster), it's more likely that the description is literal and there's some Mass Charm Person going on there.
An evil killer clown, "Dark Clown", has been created as a custom prestige class for D&D, available here.
The Dilisnyas, one of the most treacherous and murderous of Ravenloft's great noble houses, trace their bloodline back to a fellow by the unlikely name of Pidlwik. In the original adventure module I6: Ravenloft, which inspired the campaign setting, Pidlwik's crypt identifies him as the court jester.
The Skurra, of the Travelling Carnival, are one part this, one part Enemy Mime, and all subversion; while extremely creepy (even the mutated Carnies are somewhat afraid of them, and there is a belief amongst them that some or even all of the Skurra are actually ghosts), they are not malevolent in the slightest.
They may not be malevolent, but they're INCREDIBLY protective of themselves and the carnival. One of them, The Crimson Rose, has no reservations about maiming or killing a carnival-goer that pays her a bit too much of the wrong kind of attention.
The minor domain of Risibilos, from the Book of Crypts, is ruled from behind the throne by its king's malicious jester, Puncheron.
And then there's the Cult of Rakdos, from the Ravnica block. If the land Rakdos Carnarium doesn't make your blood freeze, you need to get your head examined. A cult of slash-happy killers who consider their parties a "flop" if someone survives to tell about it - and they have a circus component to them, too? (And with a circus comes...) Thanks, Wizards, I may never sleep again.
Midnight Circus naturally features one of these in the form of Koba the Clown, head of Koba's Progressive Klown Show. Quite apart from the fact that he's clearly a Joseph StalinExpy - right down to the alias and his seminary background - he's also been partlypossessed by a Mind Feeder Bane. Having managed to retain free will despite his possession, Koba is an enthusiastic supporter of the circus - not to mention dedicated to wiping out all other clown shows in the carnival. Even when he isn't being employed as brute muscle by Cavendish, Koba can usually be found doing something incredibly violent: his clown show usually concludes with one of his troupe being unveiled as a traitor and eaten by a bear live on stage - and the "bear" is actually a captured werebear that Koba has enslaved to his will.
The third-party Pathfinder supplement Killer Clowns from Hell features several clown-themed evil outsiders (although the qlippoth is more like a whole traveling circus).
Subverted with the enigmatic Immortal Elf Harlequin in Shadowrun. He's prone to dark humor and wears some pretty terrifying facepaint, but he's a Knight in Sour Armor, and often an ally to anyone who seems vital to saving significant portions of the world...though he can be a real jerk when the world's not at stake (he can hold a grudge like nobody's business).
In the Warhammer fantasy universe isolated villages are sometimes visited by the Carnival of Chaos, what appears to be an innocuous troop of performers turn out to be the hideous daemonic servants of the god of despair, who hypnotise the simple village folk during the performance whilst they quite rapidly decompose. Models are brilliant though, complete with nurglings dressed up as circus animals.
The Eldar Harlequins of Warhammer 40,000 are space elf ninja killer clowns, taking the scary clown to the kind of demented levels only 40k can. They wear holographic multicoloured harlequin costumes which can scatter their images into thousands of confusing fragments, and death masks which psychically amplify the fears of their victims, form nightmare faces and project the death-screams of previous victims into the current victim's mind. Their weapons are horrifyingly nasty even by 40k standards; as an example, their usual squad support weapon fires molecule-edged crystal discs covered in toxins that make the target's blood explode and they often use a weapon that shoots a monomolecular fiber through the target and spins it around, reducing the victim's innards into mush. They worship the "Laughing God", and are the Eldar equivalent of a roving carnival, visiting the various Craftworlds and Dark Eldar settlements (they actually scare the Dark Eldar, no mean feat) and acting out tales from Eldar mythology with holographic, psychically-enhanced interpretive dance. When they're not killing people in unspeakably horrible ways.
Which makes it all the more surprising is that the Harlequins are what's considered a good faction in the setting; that is, they firmly oppose the Chaos, and have a good chance of fighting alongside you if a common enemy is present. They also protect the Black Library from violators who would almost certainly use its powers for evil.
Added scary can be brought in by, if not the certainty, then at least the very possible implication that the "Laughing God" may in fact be the C'tan entity "The Deceiver", a being so much of a Magnificent Bastard that he first persuaded his original worshipers to convert themselves into a soulless mechanical army, and then persuaded his own race of godlike beings to turn on and in some cases eat one another until only four were left. Suffice it to say that if this is true, really horrible things lie not just in the Harlequin's future, but probably the whole Eldar race's.
Word of God says that Cegorach the Laughing God, and the C'tan Deceiver are not the same being; although there's a certain amount of "professional respect" between the two.
For an idea of what their performances are like, they would make Cirque du Soleil look like a bunch of overweight drunken fools who don't know how to work the stage lights.
When acting out a particular one, The Fall (the story of how the original Eldar empire came crashing down when they accidentally created a new Chaos God), the role of Slaanesh (the aforementioned Chaos God) can only be played by the strongest willed of the Harlequins, as even playing the part causes any lesser being attempting it to go completely insane. These Harlequins, called "Solitaires" and shunned for their fanatical (even by Harlequin standards) devotion to their art, are doomed to eternal torment upon death, as being so close in spirit to Slaanesh means he/she/it gets their souls as playthings when they die.
In past editions the Solitaire was only able to do this because they didn't have a soul any more.
For bonus points said monomolecular wire weapon is called the Harlequin's Kiss.
Their training also means they're the only Eldar who don't need a soulstone to keep them out of the hands of Slaneesh when they die. Yep, even the god of Squick is scared of clowns.
Similarly: the Dark Eldar, who would cheerfully torture you in a variety of horrible ways even if they didn't need to, crap their pants when the Harlequins show up. Even if they're just there to put on a show.
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