Mara's first appearance in the anime and manga (in a dream of Keiichi's) as a horrifying lich certainly qualifies. So Mara is literal in-universe Nightmare Fuel.
The dream castle arc of the manga had some rather spooky-looking ghosts, and Keiichi himself made some wild facial expressions.
Then there was the Shinnentai spirit, especially while she was hovering over Keiichi's bed.
In a more realistic tone, Toshiyuki's attempt to force himself onto Belldandy (and later Skuld in the anime) can come off as extremely unnerving. Thank god that the girls he goes after are prepared to deal with scum like him.
It's not as flashy or as overt as some of the examples here, but, The Reveal that there's an In-Universe reason as to whyKeichii and Belldandy haven't got any further than the most innocent interactions for months/years of in-universe time. When Keichii made his wish, Heaven basically Mind Raped him so that he'd never be capable of considering anything deeper than that. And Belldandy knew this, and gladly let it continue, because she didn't want to do anything more than that. Between the mental image of being under such an effect itself, and the glimpse into the darker side of Heaven and Belldandy herself, it's really quite chilling.