This is based on opinion. Please don't list it on a work's trope example list.
Nightmare Fuel / Anatolia Story
What Himuro saw when Yuri disappeared from 20th century Japan. He turns around, asks her where she wants to go for burgers, doesn't hear a reply, turns back around and — GONE. It's not like she suddenly run off or—worst case scenario—was suddenly kidnapped. There's literally nowhere for her to go. The timing was far too quick. ''Her bag was still hitting the ground, for God's sake!!''◊ What the hell did he tell her parents or the police?! What did he tell himself?
Yuri's initial arrival in Hattusa certainly qualifies. After having been mentally tormented at the thought of even going near water (so much, she refuses to go to school because of rain) for almost a year (given the first page talks of spring but her disappearance seems to take place close to winter), she suddenly is grabbed by hands and pulled into a puddle. Then she comes out of a spring in a completely different environment, unfamiliar with anything and can't understand what anyone is saying. Anyone who ever was stuck in a neighborhood they didn't know well or were in a foreign land, this is basically this... minus the fact that you can go home easily.
Not to mention that after she's caught, Nakia ties her up and talks about how she plans to kill Yuri. And when the king shows up and Yuri hopes he'll save her, Nakia just has Yuri gagged and explains that she's being kept as a Human Sacrifice. And to top it all off, Nakia very nearly succeeds! If Kail didn't lie when he did, Yuri would have been killed in front of countless people.
The horrible glazed expressions on the faces of whoever is under the effect of Black Water. It doesn't help that most of them (like Tito and Juda) spent all of their time up until their being Brainwashed and Crazy as being sweet, kind, and friends with Yuri. It's doubly awful in the case of Tito, who goes within minutes from being a Cheerful Child who was one of Yuri's few friends and reminders of her home to bloodthirstily swinging a dagger at her.
Similarily to the Black Water above, the effects of the Rose Water. Zannanza was a very court gentleman towards Yuri and kept his desires to himself, but him suddenly being rash and not above raping her is horrifying. No matter how much Yuri begs for him to wake up, he won't.
The idea of Tito, and other people, being skinned alive is pretty terrifying.
Hadi and the twins being coolly friendly towards Yuri while planing to murder her, because they think she had their brother killed. Rereading it can be even more chilling, since the rest of the series shows the sisters as friendly and helpful.