Belarus scratching at Russia's door and tearing out the doorknob when trying to "become one" with him. Not to mention the close up on her insane facial expression or her repeating "let's get married". Russia, who's pretty insane himself, even cries Tears of Fear.
Anytime Russia goes into Yandere mode. And there's the "Bloody Sunday" strip, in which he finally snaps and starts gunning down his own people as they're rioting in the streets ("If they hate me, they're not Russian.") before turning to Lithuania and stating "We don't want children who can't play nice, do we?".
His extreme abuse of the Baltic Trio. Plus, Lithuania's wounds.
One strip/episode implies that Latvia is short because Russia's "shows of affection" are slowly crushing his spine. And Russia promptly tries to make up for it by stretching him.
The fact that the dub's version of "kolkolkolkolkol" was turned into "kill kill kill kill kill kill"...
Russia thinks nothing of his heart dropping onto the table in the middle of an Allied Powers meeting. According to him, it just "falls out occasionally".
Japan betraying China in the strip "The Story about the Early Days of China and Japan". Let's just say China was scarred forever because of it.
What makes it even worse is the drawing of Japan as he takes out the katana. It might just be the art style, but it looks like he's trying to actively resist doing it. Add in his quiet "Forgive me" earlier (said in response to visiting China late at night, but possibly as a prelude to the attack) and the possibility that nations are forced to obey their bosses no matter what, and we get that Japan was forced to attack his older brother. Whole 'nother layer of nightmare fuel right there.
Paint it, White! gives us a few good ones. For starters, there's the opening scene, with a woman running from a group of Pictonians chasing her. She thinks she escaped and found a police officer...only to find out that he was just turned into a Pictonian himself. She just stands there, terrified, while she herself is converted. Then there's the final fight, where everyone but Italy is converted. It happens slowly, so we get to hear everyone screaming as it happens. And unlike the other people converted, the nations just freeze afterwards, while the aliens walk around them.
That woman mentioned? She's the only Pictonian victim who never gets changed back. That being said, she also chooses to Stay with the Aliens who pretty much made her their queen, so it probably wasn't too bad for her.
England's creepy Black Magic ritual also counts. He wore a black robe, everything was dark and then he suddenly started chanting something...and then the magic circle on the ground started to shine and RUSSIA appeared.
There's also mention of Hungary's penchant for scary things. Given her at times disturbing elements in history (eg. Bathory), and her creepy aura as she plans on beating Prussia...it's best not to think about it too much.
There's also her response to Prussia getting away with Silesia: she crawls out from under Prussia's bed, like a character from a Japanese horror movie, creepily hissing for him to give back Austria's vital regions.
Kid Greece as a Creepy Child in Beautiful World episode 10. Teenage Turkey is telling a joke about the afterlife to him and Kid Egypt, only for Greece to start philosophizing, in a totally flat voice that maybe when we die there's nothing else and if someone erases proof of our existence, did we really live at all? Turkey and Egypt look freaked out. Thankfully Greece switches to talking about cats.