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Nightmare Fuel: A Song of Ice and Fire
The demonic shadow creatures used by Stannis to assassinate people. Even more disturbing is the revelation of Melisandre's rather unconventional method of transporting them: they are Stannis's children, birthed by Melisandre.
Daenerys' baby in A Game Of Thrones. A human with deformed bat-wings and a stub-tail, born blind. The skin fell off when the midwife touched it, revealing the worms underneath.
The Red Wedding, especially Catelyn's raving insanity just before they kill her. Sweet Jesus, that bit when she laughs and rips apart her own face borders on Nausea Fuel in the extreme as well. Not to mention the brutal mutilation and desecration of Robb's body.
The Others, The Brotherhood Without Banners with undead Catelyn, the House of the Undying, Ramsay Bolton's atrocities, the carnage at Harrenhal, and Melisandre's shadows. Even scenes that aren't scary tend to be very unpleasant depending on your sensitivity. Overly graphic scenes of dwarf sex and a six year old sucking on his mother's tits don't lend themselves to pleasant dreams.
Biter biting off and eating part of Brienne's face!
Almost any scene focusing on Gregor Clegane or the Brave Companions.
Dany's trip into the House of the Undying in Qarth, where she encounters visions such as rat men raping a beautiful woman (a metaphor for the War of the Five Kings' devastation of Westeros), dead men feasting with severed hands (metaphor for The Red Wedding) and a dragon bursting from Mirri Maz Duur's head (metaphor for Dany's hatching of her dragons), and which ends with the Undying whispering and screaming in her skull while sitting under a great, blue, rotting heart, and trying to basically eat her alive.
Maggy the Frog's prophecies. Cersei's one is already terrible, but what she say to little Melara is far worse: Worms will have your maidenhead. Your death is here tonight, little one. Can you smell her breath? She is very close.
Arya's encounter with a Faceless Man in the House of Black and White. Quoting it in all of its horrendous glory will do.
The priest lowered his cowl. Beneath he had no face; only a yellowed skull with a few scraps of skin still clinging to the cheeks, and a white worm wriggling from one empty eye socket. "Kiss me, child," he croaked, in a voice as dry and husky as a death rattle.
Those tiny glimpses into Littlefinger's psyche. Behind the smiles and his Affably Evil antics is a deeplydisturbed individual with such a complete Lack of Empathy that he caused the death of thousands upon thousands of innocent people by orchestrating a civil war, sold the aforementioned Jeyne Poole into sexual slavery and is plotting to kill a sickly child under his protection. Many dread to think what he has in store for his protégée Sansa Stark.
On the topic of Littlefinger, whilst being held in the deepest, darkest cells of the Red Keep, Ned dreams of Robert mocking him for putting Honor Before Reason, only for the King's face to shatter and reveal a twisted version of Littlefinger, who smiles psychotically and breathes moths at Ned.
What RandyllTarly orders done to a whore that gave some of his men the pox - he has her private parts washed out with lye◊.
The amount of physical and mental abuse Randyll puts his son Samwell through, including but not limited to: chaining him up in a cell when he told his father he wanted to be a maester, having him bathe in the blood of a recently slaughtered aurochs, and threatening to take him into the forest to have a Hunting Accident.
This is more of a psychological thing, but that scene in ASOS when Roose Bolton very calmly tells Jaime that the smartest political move Vargo Hoat could have made when he captured him was to abuse and mistreat him so badly that by the time Bolton heard about it, he would be too afraid of Jaime's father's revenge to ever consider letting him go home is its own special kind of awful.
Also a psychological thing, but Robert Arryn. A Creepy Child with a My Beloved Smother is bad enough, but then we learn that one of his favorite things is to "make people fly!" To put this into perspective, this is a six-year old who likes to watch people be thrown off of a mountain, and whose mother seems to have no problems letting him give the order to have it done. Yikes!
The sky cells seem to be designed to drive prisoners to madness. In the book, it's way more explicit:
Gods save me, some previous tenant had written on the wall in something that looked suspiciously like blood, the blue is calling.
Lysa Arryn tried to murder her own niece by holding her over a six hundred foot drop. If that's not bad enough, the man she loves then kills her instead. To make it creepier, she didn't scream. She just fell through the Moon Door and disappeared.
Sansa's description of Marillion singing day and night while he's imprisoned and how the it permeates the Eyrie is very unsettling. Even after he's dead, Sweetrobin can still hear him.
The Black Cells, particularly after Qyburn, the Westeros equivalent of a Nazi doctor, takes over them. You never find out exactly what he does, only that he prefers women and runs out of subjects rather quickly. Cersei provides for him a pretty steady supply, and mentions that what happened to one was enough to make even her stomach turn. This in itself is Fridge Horror - Cersei is perfectly willing to give women who previously thought of her as a friend to a batshit crazy Mad Scientist, all just to be completely sure that no one could ever have the chance to incriminate her in any of her crimes. It should be noted that Qyburn was kicked out of the Citadel - the same thing as having your medical license taken away - for his "experiments" (performing vivisections). And all you ever hear from the Black Cells are the screams...
The history of the Nightfort. Night's King and his corpse bride. The Rat Cook with his prince-and-bacon pie. The apprentice boys and the thing that came in the night. Mad Axe, who butchered his brothers in the night. The 79 sentinels who stand their watch. Brave Danny Flint.
Some of those stories deserve further elaboration:
The Night's King was a commander of the Night's Watch who found and was bewitched by a (seemingly) female Other (that's right one of the freakin' ice monsters). He and his 'bride' ruled as King and Queen for thirteen years, enslaving all the members of the Night's Watch and celebrating horrifyng ritual sacrifices, before being defeated by a combined army of Starks and Wildlings. There are many theories about the Night's King's identity, but Old Nan claims he was a Stark himself!
The Rat Cook, butchering the King's son and baking him into a pie he then served to the King. For his violation of Guest Right he was turned into a giant white rat that was cursed with endless hunger, but only able to eat its own offspring.
The 79 sentinels were deserters from the Night's Watch. Among them was the youngest son of Lord Ryswell, so they fled to Ryswell's lands expecting shelter. Instead, Lord Ryswell returned them all, including his son, to the Night's Watch. Back at the Nightfort they were entombed within the Wall while still alive. They did not keep their oaths in life, but will do so in death.
And the most tragic: Danny Flint, a girl who dressed as a boy to join the Night's Watch, but ended up being discovered. Her former sworn brothers proceeded to rape and murder her for it.
Dany's march to Meereen. To taunt her, the Great Masters of the city nail a disemboweled child to each milepost along the roadside, with an arm outstretched, pointing towards the city. They do this for a hundred and sixty miles.
And when Dany conquers the city:
Meereenese Noblewoman: How many must you have to spare us?
The life (and deaths) of Beric Dondarrion. The man dies six times, each death horrible, and is brought back in an increasingly debilitated state each time - and each time with fewer memories. By the end he's a barely sentient zombie, and while he dies for the final time in order that Un-Cat can (sort of) live, he's probably as desperate as he still can be to stay dead this time.
Two of the guards Jaime sends to search the labyrinth of secret passages in the Tower of the Hand disappear, and can't be found by their colleagues even though they can hear someone calling out to them.
Aerys Targaryen used to cook people in their own armor. Not a good way to go.
And what he did to the people (and their entire families) who held him prisoner in the Defiance of Duskendale.
His bad abitude to rape his wife when he's turned on. The poor woman looked like if some beast had savaged her, clawing at her thighs and chewing on her breasts.
Burn them all.
The Unsullied, slave soldiers who have been put through insane 'succeed or die' (not an exaggeration) torture intended to deprive them of self and self-preservation. A slaver boasts that he could order an Unsullied to stand in a spot for as long as necessary, and he would do so until he dropped dead, and another character comments that they would willingly kill themselves if their master ordered them to. Then there's their training, which such highlights as having no names, but the ones they draw in a lottery every day, being given a dog, raising it for a year, then being forced to either kill it or be fed to the others, and being ordered to purchase a slave baby, kill it in front of its mother, then pay the owner afterwards. Needless to say, it feels very gratifying to see Dany turn them on their former masters.
The fate of Elia Martell when the Lannister forces took King's Landing. The child she was cradling was snatched from her arms and had his head dashed against the wall - and then the monstrous youth who did it raped her with the baby's blood and brains still on his hands. And then he killed her, simply because Tywin Lannister hadn't told him not to.
The youth was Ser Gregor Clegane, The Mountain that Rides. And this wasn't even the first dreadful act he'd committed...
Ramsay Bolton's treatment of Lady Hornwood, who he rapes and then locks in a tower without food. She starves to death, but not before eating some of her own fingers.
Also his treatment of Jeyne Poole. She is also repeatedly raped and beaten, and so scared of him that when she is rescued, she initially cannot believe it.
Ned Stark's execution. Sansa truly believed he was going to be graced and...he has his head cut off in front of her eyes.
Joffrey forcing her to watch her father's head on a spear his terrible as well. Her septa's head has her face rotten and eaten by birds.
The events of Tower of the Joy. Ned slew most of the Kingsguard but all his friends but Howland Reed died. He only found his sister dying in a bed full of blood, with withered roses all around her and desperately asks him to keep a promise that he will pay a heavy price. Fandom knows what that promise was, but still is disturbing. Small wonder Ned still has nightmares 15 years later.
Cersei's plans to bring down Margaery Tyrell include torturing Margaery's singer, the Blue Bard, until he agrees to lie about Margaery's supposed lovers. Then, when Margaery's arrested, he's seized by the Faith and tortured again. By the time of A Dance with Dragons, the poor boy's gone mad, and small wonder.
Also, the Faith's treatment of Osney Kettleblack; when he makes the (false) confession that he commited adultery with Margaery, the High Septon is skeptical. So they whipped and scourged him until his back and shoulders were almost laid bare to the bone, and he was soon singing a very different song...
When Cersei coaches the Blue Bard on what he is supposed to accuse Margaery and her cousins of, her narration mentions staring into the one eye that Qyburn hadn't carved out yet. Yeesh.
Thistle's reaction to Varamyr Sixskins' attempt to use his warg abilities to pull a Grand Theft Me on her: she tears out her eyes and bites off her tongue.
This is slightly Fridge Horror and decidedly Adult Fear, but... consider Littlefinger's attempts to sow a little chaos to ride on. It includes total economic meltdown that he carefully engineered for years to occur as painfully as possible for the maximum number of people he could manage to affect simply to generate widespread dissent through far more than simple deprivations on Westeros' GDP via war's attrition of resources and manpower. Thanks to actively creating credit bubbles to go pop, he's ensured the Bank of Braavos will make life miserable for others for years to come: the various Kings are not aware of it, yet — but, their sovereignty is no longer their own. This will impact the whole continent for possibly generations, not just long enough for him to play with. If you think we've seen hard times recently, it's nothing in comparison to what those who survive the coming years in Westeros will face. And, he's practically done it alone using people acting as people all to possibly shift the culture from one where a Warrior King is the norm to an environment where the Merchant Prince can thrive: all when the Others are coming to be a spanner in this major socio-economic experiment that would favour him. Sweet dreams.
The Blood and Cheese incident in "The Princess and the Queen” is the most pure distillation of Adult Fear in the entire series. Blood and Cheese are two assassins sent by Daemon Targaryen to infiltrate the Red Keep to carry out the retaliation for the death of Lucerys Velaryon. Their real names are lost to history but one was a former sergeant of the City Watch and the other a rat-cacher in the Red Keep. Together they break into Queen Alicent’s bedroom and wait for Queen Helaena Targaryen to bring her children to kiss their grandmother goodnight. They kill the guard and then force Helaena to choose which of her two sons she wanted them to kill. When Helaena eventually chose her youngest, 2 year old Maelor, they killed 6 year old Jaehaerys instead, so Maelor would live the rest of his life knowing his mother chose him to die. And for good measure they threatened to rape her 6 year old daughter Jaehaera if she didn’t make up her mind fast enough. It’s no wonder the Helaena falls into a crippling depression and never recovers.