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Nightmare Fuel: Arrow
Not even counting the shipwreck, Oliver's castaway ordeal was nightmarish before he ever reached the island. Namely on the life raft, Oliver watching his father murder another man and then kill himself. Oliver spends countless days floating aimlessly a few feet from his father's sun-bloated, near-headless corpse as the water slowly runs out. He finally reaches the safety of the island's dry land, only to watch seagulls feasting on his father's rotting body. Even if Oliver had been rescued the day after he reached the island, he already experienced enough horror to justify spending the rest of his life gibbering in a padded cell.
The effects of Vertigo when put in the jugular. It puts the brain's pain receptors on overdrive, causing a crippling amount of psychosomatic pain that can last for days before the person's heart gives out.
The Undertaking: A bunch of rich, powerful people decide to "fix" their city by making the poor side of town the worst it can be, probably to justify whatever renovation efforts they care to make. In the process they do things like corrupt the legal system, stop gentrification projects and shut down free clinics and other social support organizations. If you're one of the poor people harmed by this project, oh well...
Turns out they were actually trying to save the city, but the Undertaking is now bringing down the Glades with bombs to make it look like a freak earthquake destroyed them!
Deadshot. Even if you survive with just a graze, you'll be dead from the curare poison he laces his bullets. And good luck using bulletproof glass. He'll just shatter it and fire another round immediately after.
The Island as a whole. With WW 2 mines laying about, armed mercs who'll grab and attack anyone they see and torture for info they may not even have, the fact that both a crashed plane and two boats have ended up there like the Bemuda Triangle, and the questionable implication of what, exactly, the hell are they even doing there. The realization that it was able to transform a shallow party boy into a hardened killer in mere years will make you think twice about any trip over seas.
The Doll Maker. The first victim we see of him is treated in a more gruesome, CSI kind of way and when Quentin sees the body, he's visibly disturbed. The killer himself is creepy as hell, and takes disturbing pleasure in drowning his victims and turning them into his dolls.
"Broken Dolls" also gives us Slade getting hit by one of the pirates' mortars and set on fire. It is later shown that the damage caused an extremely nasty burn on the entire right side of his head.
In "Crucible" Sara Lance says, "No woman should ever suffer at the hands of men." Some fans have pointed out that this may be an oblique reference to being raped at some point during the six years she was missing. At any rate having spent the time on Amazo, Lian Yu, or in the League of Assassins she's likely to have been through some terrible things - equal to or greater than Oliver.
League of Assassins has her, when she's first found by the Amazo, being dragged out in front of several men in nothing but a shirt and her underwear, with the obvious implication they were planning to gang-rape her. Dr Ivo saves her from it, but she's left terrified and shaken, so much so she flinches when he locks the door (not to stop her leaving, mind, to stop the others coming in).
Speaking of such, the League of Assassins themselves; highly trained assassins capable of catching arrows without flinching, almost immune to pain. Their ranks are large and they can come in, take out their target, then leave without ever being seen, with only rumours of their existence in the far east, despite them operating throughout the world. They transform people with no combat skill prior into ruthlessly efficient killers, in less than two years time. And given that the show is now embracing super powers, its possible Ra's Al Ghul may in fact keep his immortality here, making him all the more scary.
"The Scientist" confirms that yes, Professor Zoom does exist in this universe, and he's already jumping around Barry Allen's timeline.
From "Three Ghosts" Oliver's hallucination of Slade attacking him, especially when we learn the hallucinations are purely psychological. He gets beat up, tables are tossed, and thrown into a glass case, and all the time we know that he's doing it to himself.