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.