Please don't list this on a work's page as a trope. Examples can go on the work's YMMV tab.
Nightmare Fuel: Baldur's Gate
The dream sequences, in which Irenicus gives you increasingly dark and morbid Breaking Lectures. It becomes even worse when you find out the Irenicus that talks to you in your dreams isn't Irenicus at all. Its Bhaal himself, trying to goad you to The Dark Side.
If you visit the Temple District at night, you'll run into a Shadow Theif. He won't attack, but he will start babbling a deranged "song" when you speak to him. It sounds like the typical ravings of a madman at first...then the song describes how an innocent man was forced to watch his friends and family be butchered because he refused to get involved in the current guild war. The song suddenly becomes much more chilling when you realise who the song is describing.
"You can't hide! War will find! YOU CAN'T HIDE! WAR WILL FIND!AHAHAHAHAHAHAHAHAHAHAAAAAAAA!!!"
Your second visit to Candlekeep in the first game when everyone's been replaced by dopplegangers.
Even better, even better, when you get to the end of the catacombs, Gorion shows up and tries to convince you that none of the dopplegangers were real, and instead you just murdered all of your old childhood friends in a bout of insanity. Of course, he turns out to be a doppleganger, too, but it can really mess with your head for a brief moment.
For a mixture of horror and Tear Jerker, find Captain Brage and right click on him to hear a mixture of insane laughter and broken sobbing.
Take a closer look at that bandit camp. Apparently they decided to decorate their camp with rotting corpses.
The cries in the Fear Test in hell in Shadows of Amn.
The Underdark. An enormous sub-terrainan world filled to the brim with beings so dangerous and evil that it can compete with the lower planes.
For extra scary points, try bring Aerie there. Aerie, like all the Avariel, is claustrophobic. Upon realizing where she is and that there's a very good chance that she'll never see the sky again, she suffers a Heroic BSOD.