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Nightmare Fuel: Blood+
Given that this series belongs in the same franchise that brought us original movie and Blood-C, it was inevitable that there would be many creepy moments in this installment.
Nathan threatening to kill Amshel if he harms Diva. It's only for a split second, but his voice sounds outright demonic, and it's so unlike what the viewer's seen of him so far that it's downright creepy (he even cracks a wine glass Amshel's holding with pure Killing Intent).
Saya going berserk during The Vietnam War, which we originally see as the very first scene of the series. Having detected Diva, a desperate Red Shield forced her to wake up by giving her an injection of Hagi's blood. The result? Oh, nothing except her slicing and dicing everything she sees indiscriminately. That's right, she was not only smoking Chiropterans, she was also killing American soldiers, villagers, and children. What's worse, this version of Saya is pissed, speaking nothing but indiscernible growls as she angrily tries to approach Diva.
Those Chiropteran children in Episodes 12 and 13. As if their choir singing isn't disturbing enough, the viewers have the privilege of watching them burst out of the kids' bodies to reveal fetus-like monsters and brutally tear apart the mercenaries working for Red Shield.Fun.
The Reveal of Diva in Episode 24. This is when the viewer really gets to see how fucking psycho and sadistic this Big Bad is. Hell, even Saya is freaked out from her sister's... quirks.
Doubles as a Tear Jerker: Irene's crystallization and death. Knowing she doesn't have long without help from Saya, Kai convinces his sister to give Irene some of her blood. It at first seems to work... only for Irene to completely turn into crystal and stone, before shattering to death. That particular scene is the image for the Anime Nightmare Fuel page for good reason.
How The Schiffs came to be in the first place. They're genetically-engineered Chevaliers, put under dehumanizing experiments and barred from learning even the most basic social skills as they rested in their cages. After finally breaking out of the hellhole, they realize that unlike other Chevaliers, their lives are finite and are seen as nothing more than weapons.
The Corpse Corps. To put it bluntly, they're the Schiffs' Psycho Rangers. And all the while, governments are convinced that they are Chiropteran-hunting robots, blissfully unaware that they too have presumably having gone under a similar brutal development program but are this time cold, thoughtless killers. It's hardly a surprise why Moses had a brief Heroic BSOD after finding out.
Imagine being a young adult who's dragged into a room by two of Diva's Chevaliers. There, you are told that you will be pressed into service and the next thing you know, Diva approaches you and closes in on your neck, dooming you into an eternal contract to be her chevalier. And with no friends, you are stuck in this hell all by yourself. This is how Karl became a Chevalier.
Diva's song is simultaneously beautiful and heartbreaking. It is also absolutely terrifying, not only because it signals that she is close by, but also because of its supernatural effects on people who consumed on Cinq Fleches products (as seen through her performances at the airbase and at the Met). That's right, if you ate or drank something made by Cinq Fleches, her song will indoctrinate you into becoming a Chiropteran!