This is based on opinion. Please don't list it on a work's trope example list.
Nightmare Fuel / A Song of Ice and Fire
A Game of Thrones
Daenerys's stillborn child. A baby with deformed bat-wings and a stub-tail, born blind. The skin fell off when the midwife touched it, revealing the worms underneath.
Before that when Jorah is carrying her into the tent as she goes into labour, while Mirri Maz Duur works some black sorcery...
What was wrong with them, couldn't they see? Inside the tent the shapes were dancing, circling the brazier and the bloody bath, dark against the sandsilk, and some did not look human. She glimpsed the shadow of a great wolf, and another like a man wreathed in flames. Her eyes opened to gaze up at a flat dead sky, black and bleak and starless. Please, no. The sound of Mirri Maz Duur's voice grew louder, until it filled the world. The shapes! She screamed. The dancers!
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.
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 is terrible as well. Her septa's head has her face rotten and eaten by birds.
Old Nan's story of the Long Night is gripping but foreboding. This could be Westeros' future: millions dying of cold, weeping as they Mercy Kill their starving children, kingdoms and cities falling into chaos, the Others hunting people in the woods, and no one able to do anything about it.
Oh, my sweet summer child, what do you know of fear? Fear is for the winter, my little lord, when the snows fall a hundred feet deep and the ice wind comes howling out of the north. Fear is for the long night, when the sun hides its face for years at a time, and little children are born and live and die all in darkness while the direwolves grow gaunt and hungry, and the white walkers move through the woods.
A Clash of Kings
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.
With Renly, his shadow appeared to be moving on its own then it stabbed him in the chest.
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), a man with a wolf head sitting on the Iron Throne foreshadowing Robb Stark's fate; (who's eyes follow her with "mute appeal") 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; they then try to sap Dany of her life-force and eat her alive.
Just read this extract from the same scene and try not to quail.
It seemed as though she had walked for another hour before the long hall finally ended in a steep stone stair, descending into darkness. Every door, opened or closed, had been to her left. Dany looked back behind her. The torches were going out, she realised with a start of fear. Perhaps twenty still burned. Thirty at most. One more guttered out even as she watched, and the darkness came a little further down the hall, creeping toward her. And as she listened it seemed as if she heard something else coming, shuffling and dragging itself slowly along the faded carpet.
Drogon hears it too!
Ramsay Bolton's treatment of Lady Hornwood, an elderly woman who he rapes and then locks in a tower without food. She starves to death, but not before eating some of her own fingers.
Jojen's green-dreams, such as the one about "Reek" skinning Bran and Rickon's faces. Then the one about the sea coming to Winterfell and the drowned bodies, foreshadowing the Ironborn attack.
A Storm of Swords
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.
And you thought the drums in the deep scene in the mines of Moria was scary? Try the single one belonging to a musician rather than a war-band of mountain orcs. BOOM... DOOM... BOOM... DOOM... BOOM... DOOM...
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 Tywin's revenge to ever consider letting him go home is its own special kind of awful.
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-three miles.
And when Dany conquers the city:
Meereenese Noblewoman: How many must you have to spare us?
Particularly as Daenerys' doesn't really show very just motivations for it, wanting to make herself feel better for the children but from the sound of it randomly murdering a group of the elite without even checking who was responsible.
The Unsullied, slave soldiers who have been put through insane 'succeed or die' (not an exaggeration) torture intended to deprive them of identity 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.
I dreamt I saw a shadow with a burning heart butchering a golden stag, aye. I dreamt of a man without a face, waiting on a bridge that swayed and swung. On his shoulder perched a drowned crow with seaweed hanging from his wings. I dreamt of a roaring river and a woman that was a fish. Dead she drifted, with red tears on her cheeks, but when her eyes did open, oh, I woke from terror.
A Feast for Crows
Biter pins Brienne down, breaks her forearm, sinks his filed teeth into her face and rips off a good portion of her cheek!
Brienne:He is eating me!
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.
What RandyllTarly orders done to a whore that gave some of his men the pox - he has her private parts washed out with lye◊.
Sansa's description of Marillion singing day and night while he's imprisoned and how it permeates the Eyrie is very unsettling. Even after he's dead, Robert Arryn/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...
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.
Made even more horrible by the fact that soon after the incident, Cersei ordered the tower demolished with wildfire, presumably with the lost guys still inside.
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.
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.
Euron "Crow's Eye" Greyjoy can put on an amiable nature, similar to Robert's charisma, but he shows himself to be one of the most dangerous and villainous characters in the series. The descriptions of him in prophecies, as a Drowned Crow and a creature sailing on a sea of blood, help this.
Aeron in his POV Chapters has very creepy memories of when he was a child. "The sound of a door opening, the scream of a rusted hinge. Euron has come again." The implications of what Euron was doing to his little brother are... not pleasant.
All but confirmed in The Winds of Winter
A Dance with Dragons
Theon's chapters are very frightening due his close proximity to the utterly depraved and psychotic Ramsay Snow. Such as the description of how, after the Ironmen holding Moat Cailin surrender for an offer of safe conduct, Ramsay flays them all.
The Chapters in Winterfell are very creepy, with the Ten Little Murder Victims plot. People keep dying mysteriously, those in Winterfell don't trust and despise many of the other occupants, paranoia is rising and they are turning on themselves.
Ralf Kenning's fate is quite nauseating. Poison from a crannogmen's arrows brings on Body Horror like you wouldn't believe.
Beneath the furs he was naked and feverish, his pale puffy flesh covered with weeping sores and scabs. His head was misshapen, one cheek grotesquely swollen, his neck so engorged with blood that it threatened to swallow his face. The arm on that same side was big as a log and crawling with white worms. No one had bathed him or shaved him for many days, from the look of him. One eye wept pus, and his beard was crusty with dried vomit.
The bloody flux/pale mare (essentially dysentery). Particularly the scene where Daenerys tours a camp of its victims.
The aftermath of Quentyn Martell's attempt to tame Viserion, he should have taken into account the more violent brother sneaking up behind him...
The drowned city and the stone people (the people inflicted with greyscale in the Sorrows).
Ramsay's 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.
As if a penchant for flaying people wasn't horrific enough, it's not just fingers but toes as well. Just think about how many nerve-endings there are in toes.
The story of Ramsay's conception. When one of Roose's smallfolk refused to sleep with him because she was married, he had her husband hanged for a made-up crime and raped her under his corpse. When Roose tells Theon about it, it's clear that Roose's only regret is that his actions resulted in a child as unsubtle as Ramsay. That story makes it clear where Ramsay got his Ax-Crazy from.
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.
The end of the book's prologue is some of the most terrifying writing Martin's put in the series.
When they reached the crest the wolves paused. Thistle, he remembered, and a part of him grieved for what he had lost and another part for what he’d done. Below, the world had turned to ice. Fingers of frost crept slowly up the weirwood, reaching out for each other. The empty village was no longer empty. Blue-eyed shadows walked amongst the mounds of snow. Some wore brown and some wore black and some were naked, their flesh gone white as snow. A wind was sighing through the hills, heavy with their scents: dead flesh, dry blood, skins that stank of mold and rot and urine. Sly gave a growl and bared her teeth, her ruff bristling. Not men. Not prey. Not these.
The things below moved, but did not live. One by one, they raised their heads toward the three wolves on the hill. The last to look was the thing that had been Thistle. She wore wool and fur and leather, and over that she wore a coat of hoarfrost that crackled when she moved and glistened in the moonlight. Pale pink icicles hung from her fingertips, ten long knives of frozen blood. And in the pits where her eyes had been, a pale blue light was flickering, lending her coarse features an eerie beauty they had never known in life.
She sees me.
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.
Almost any scene focusing on Gregor Clegane or the Brave Companions (those that aren't Dead Baby Comedy in the latter case).
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.
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 auroch, and threatening to take him into the forest to have a Hunting "Accident".
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!
The sky cells seem to be designed to drive prisoners to madness.
Gods save me, some previous tenant had written on the wall in something that looked suspiciously like blood, the blue is calling.
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.
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.
Theon's account of Roose Bolton.
His face was clean-shaved, smooth-skinned, ordinary, not handsome but not quite plain. Though Roose had been in battles, he bore no scars. Though well past forty, he was as yet unwrinkled, with scarce a line to tell of the passage of time. His lips were so thin that when he pressed them together they seem to vanish altogether. There was an agelessness about him, a stillness; on Roose Bolton’s face, rage and joy looked much the same. All he and Ramsay had in common were their eyes. His eyes are ice. Reek wondered if he ever cried. If so, do the tears feel cold upon his cheeks? Once, a boy called Theon Greyjoy had enjoyed tweaking Bolton as they sat at council with Robb Stark, mocking his soft voice and making japes about leeches. He must have been mad. This is no man to jape with. You had only to look at Bolton to know that he had more cruelty in his pinky toe than all the Freys combined.
Lady Stoneheart is Catelyn come Back from the Dead after three days of rotting in the water. Her face has deep gashes where she tore off her own skin, her Slashed Throat makes speech difficult and her eyes are two pits of pure rage and hatred. She took control of the Brotherhood without Banners and is hanging people all over the Riverlands that she thinks have anything to do with the Lannisters, Boltons and Freys. She is vengeance personified.
Patchface, Stannis's fool, is very, very creepy. He was found naked on the beach two days after the shipwreck that killed Stannis's parents. No one knows how he survived but the man who found him swore for the rest of his life that Patchface had been cold like a corpse but suddenly woke up. Patchface was said to be witty before drowning, but now only speaks in bizarre, nonsensical riddles, usually about a place under the sea; what's creepier is that these riddles seem to be prophetic, as he accurately predicted the Red Wedding. He scares Melisandre, the woman who burns people alive.
Melisandre: That creature is dangerous. Many a time I have glimpsed him in my flames. Sometimes there are skulls about him, and his lips are red with blood.
Tormund's description of how the Others attack. Not in force, but by slowly whittling away at the wildlings night after night, always sticking close by, even if they hide away during the day. The wildlings can fight off the wights, but they can't do anything to stop the Others but try to light a fire and pray they wake up in the morning.
A man can fight the dead, but when their masters come, when the white mists rise up... how do you fight a mist, crow? Shadows with teeth... air so cold it hurts to breath, like a knife inside your chest... you do not know, you cannot know... can your sword cut cold?
Harrenhal is a very disturbing place. The day it was finished, Aegon the Conqueror burned it with dragonfire, killing everyone inside and leaving it half in ruins. The sheer size of it makes it impossible to maintain, so the castle just sinks deeper into decay. But the real scary thing about Harrenhal is that it's supposedly cursed. Every house or person to hold it has met a very bad end, and Harrenhal goes through lords like noblewomen go through dresses. It's also said to be haunted by its former occupants.
And then there are the human monsters: naked girls were put in stocks out on public display for whenever some soldier wanted to rape them, for the simple 'crime' of sleeping with Lannister men who'd held the castle before; Arya was threatened with rape, dismemberment, maiming, and abuse on a regular basis; there were severed heads of people on spikes all around. On one occasion a thirteen year old girl was gang raped and the rapists laughed about it openly. Arya's time there was one of the most disturbing sections of the book.
Jaime: Harrenhal had witnessed more horror in its three hundred years than Casterly Rock had witnessed in three thousand.
Added to this is the implication that, over the years, it's become almost standard procedure to hand the deeds and titles to the place to people who are rising too quickly and strongly for the comfort of the status quo. Just to slow their rise down, or, with luck, to utterly sink them with the unexpected downsides. It's the classic White Elephant, except this one is a creepy, haunted money sink and "reward".
The description of the last few moments of Baelor Breakspear's life in The Hedge Knight.
The history of the Nightfort:
Mad Axe, who butchered his brothers in the night.
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 horrifying 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!
And guess who just turned up right the fuck out of nowhere on the tv series? Thats right, the Night's King lives and is in fact the driving force in the march of the Others. Gods help Westeros when he shows up in the books...
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.
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 aptitude to rape his wife when he's turned on. The poor woman "looked as if some beast had savaged her, clawing at her thighs and chewing on her breasts".
Burn them all.
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...
Her five year old daughter, Rhaenys, was dragged out from where she was hiding under her father's bed by Amory Lorch, and was stabbed not once, not twice, but fifty times. Simply because she'd kicked him and wouldn't stop screaming.
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.
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-catcher in the Red Keep. Together they broke into Queen Alicent’s bedroom, tied her up and wait for Queen Helaena Targaryen to bring her children to kiss their grandmother goodnight. They killed the guard and then forced 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 that Helaena falls into a crippling depression and never recovers.
Aegon the Younger forced to watch his mother being eaten by his uncle's dragon. He was left permanently traumatized by this.
A kind of understated one, bordering on Paranoia Fuel, is that Aerys Targaryen, in his fits of pyromania and paranoia, stored hidden caches of wildfire all around King's Landing, just in case he wanted to burn it all to the ground. Not many people know about the plan, and there's no WAY all the caches have been found. And then there is the fact that wildfire tends to spontaneously catch fire and explode when its shelf life is up. Any random house in King's Landing may just be one bad day away from going up in flames and taking the entire street with it, at the least.
The Storming of the Dragonpit during the Dance of the Dragons. A man called the Shepherd stirred the smallfolk of King's Landing into a horrible frenzy, ranting that the dragons would kill them all and had to be destroyed. The smallfolk ran into the Dragonpit to kill every dragon they could find. And they did, but at a terrible cost: hundreds, if not thousands, of people were burned to death. Even as people were dying gruesomely, others just kept rushing into the fiery hellscape, despite the rapidly increasing body count. Archmaester Gyldayn writes that it were as though the entire city went mad.
The Shepherd: When the dragons come, your flesh will burn and blister and turn to ash. Your wives will dance in gowns of fire, shrieking as they burn, lewd and naked underneath the flames. And you shall see your little children weeping, weeping till their eyes do melt and slide like jelly down their faces, till their pink flesh falls black and crackling from their bones. The Stranger comes, he comes, he comes, to scourge us for our sins. Prayers cannot stay his wroth, no more than tears can quench the flame of dragons. Only blood can do that. Your blood, my blood, their blood. There the demons dwell, up there. This is their city. If you would make it yours, first must you destroy them! If you would cleanse yourself of sin, first must you bathe in dragon’s blood! For only blood can quench the fires of hell!
The description from The World of Ice & Fire about exactly how Tywin wiped out House Reyne. The Reynes, having lost one battle to the Lannisters and believing that their castle couldn't stand up to a siege, fled into a series of mines. Storming those mines would result in enormous Lannister casualties, so they believed that it would create a stalemate that would force the Lannisters to have to negotiate with them. They were very, very wrong.
Ser Reynard sent word to Ser Tywin above, offering terms. But Tywin Lannister did not honor Ser Reynard's offer with a reply. Instead he commanded that the mines be sealed. With pick and axe and torch, his own miners brought down tons of stone and soil, burying the great gates to the mines until there was no way in and no way out. Once that was done, he turned his attention to the small, swift stream that fed the crystalline blue pool beside the castle from which Castamere took its name. It took less than a day to dam the stream and only two to divert it to the nearest mine entrance. The earth and stone that sealed the mine had no gaps large enough to let a squirrel pass, let alone a man... but the water found its way down. Ser Raynard had taken more than three hundred men, women, and children into the mines, it is said. Not a one emerged. A few of the guards assigned to the smallest and most distant of the mine entrances reported hearing faint screams and shouts coming from beneath the earth one night, but by daybreak the stones had gone silent once again.