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.
During the Niflheim arc, Mokkurkalfi warns Keiichi (who'd already defeated three demons, her included, by outsmarting them) to remember his place. She then unveils her true form – an Eldritch Abomination enveloping the room. It's pretty terrifying to see, not least to poor Keiichi, who nearly goes insane from fright.
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 gone any further than the most innocent interactions for years of in-universe time (decades of real-time) – When Keichii made his wish, Heaven basically Mind Raped him so that he'd never be capable of considering anything deeper than that. Belldandy knew this the entire time, but gladly let it continue, because she didn't want to face the consequences of going any further than that. Between the mental image of being under such an effect, and the glimpse into the darker side of Heaven and Belldandy herself, it's really quite chilling.
The tale of the Lake Goddess counts as both Tear Jerker and this. When her mortal lover the bard dies of old age, she quickly loses her marbles due to grief and demands to be able to see the ocean he sang about, even though she's bound to the lake forever. As her sanity slips away, she uses the Honest Axe scenario (of which she is the arbiter) on herself to obtain the very sharp axe, then hacks away at the spiritual shackles binding her to the lake. Once she sets a single foot outside her domain, Tyr punishes her by locking her away to drown in her own sorrows for all eternity. Worse yet, Keiichi and Belldandy are forced to experience this story from the perspectives of the participants… so Keiichi gets to feel himself grow old and die, while Bell feels the goddess self-destruct from grief and then watch helplessly as her own father locks the poor goddess in a cocoon until the end of time.
During the Final Race, specifically the end of Attempt No.2, Keiichi dies. Literally dies. As in, he felt his skull shatter and nearly every bone in his body break before tumbling off the road into the abyss. When he asked Tyr if it had all been a trick, Tyr replied it wasn't; Keiichi really had died. Well, technically, Tyr stepped in at one millisecond before Keiichi died and rebuilt him. But it's close enough to be beyond terrifying to contemplate. Worst yet, since Keiichi had already failed twice, Tyr heavily implied he wouldn't step in to help if Keiichi screwed up again.