This is based on opinion. Please don't list it on a work's trope example list.
Nightmare Fuel / Boardwalk Empire
Van Alden's self-flagellation.
Jimmy's story about a German soldier who spent days trying to untangle himself from a barbed wire fence with two bullet wounds, refusing all of Jimmy's offers to put him out of his misery.
Richard Harrow callously murdering the 14-year-old Pius D'Alessio.
In early seasons, Harrow seems less like a man and more like the Grim Reaper.
Nucky describes finding his wife cradling and caring for their son, only to realize the infant had clearly been dead for weeks. Though nothing is shown, and he doesn't go into detail, the haunted look in Nucky's eyes tells us all we need to know.
Three words: Giuseppe Colombano "Gyp" Rosetti. A violent, unstable psychopath, with no impulse control. He can spontaneously go from being seemingly charming and humorous to paranoid and aggressive over the most trivial slight or inconvenience. And even when in a "good mood", he delights in inflicting pain and suffering as well as sadistically intimidating others with the threat of violence. Consequently, in a show filled with sadistic killers and cold-blooded crime bosses, he's probably the most depraved and deranged character of the entire series.
Gillian seducing and killing Roger in "Sunday Best".
Owen's body in a box after his unsuccessful attempt to kill Joe Masseria. His body is only seen briefly, but the tension of the cinematography- the martial drumbeat on the soundtrack, the very slow pan into the box and the way Nucky frantically tells Eddie to close the box before Margaret (and we) can see its contents- make it tough to watch.
From the point of view of Rosetti's men, Richard Harrow's attack on them in the finale can be seen as this. They have no idea who he is or why he's attacking them, he goes through them with no emotional expression at all, they're far far too scared to aim at him properly while he's blowing their heads off with every shot. No wonder Rosetti simply ran off.
Arnold Rothstein is a kind of one man nightmare fuel repository. A quiet, dapper, low key businessman who will speak respectfully even to his enemies, never let his temper get the best of him, and is perfectly willing to have you killed horribly if it benefits him. Or just if he feels like it. Once, when interrogating Frankie Yale, he tells a story about meeting a fellow who could swallow and regurgitate billiard balls as a trick. Rothstein offered the man $10,000 if he could do this with the cue ball. What Rothstein knew, and the other man didn't, was that the cue ball was 1/16th of an inch larger than the other balls. He swallowed it down, it lodged in his throat, and he choked to death on the spot.
Arnold Rothstein: Do you know what the moral of this tale is, Mr. Yale?
Arnold Rothstein: The moral of the story is that if I'd cause a stranger to choke to death for my own amusement, what do you think I'll do to you if you don't tell me who ordered you to kill Colosimo?
Dicky Pastor, the talent agent who catches Dunn Purnsley with his wife and forces him, at gunpoint, to finish while he watches, all the while delivering a creepy, racist Breaking Speech and insisting Dunn address him in minstrel dialect.
What happens to the Jerk Jock that Willie and his roommate prank by dosing him with milk of magnesia: he shits himself to death. And then the audience is shown his wide-eyed corpse, lying on the bathroom floor and bleeding from the mouth.
William Wilson has two subtly disturbing one that's more psychological horror then blood and guts: Daughter Maitland's story about the murder of her prostitute mother by a man who she splashed with lye who then strangled her: and The Reveal that Dr. Narcisse was the murderer, with a Wham Shot of his burns and the disturbing devotion that Daughter has for him regardless of this.
Eli's nightmarishly brutal beatdown of Agent Tolliver. True, Tolliver more than had it coming, but even then, Eli's Unstoppable Rage is positively terrifying.
The discovery of Jimmy's body in the end of Season 4. Of course we skeletons on TV all the time, buried in unmarked graves, with cops casually examining the bones to determine the identity. But to see such an undignified fate for a character we've known for two seasons is deeply disturbing.
Nelson Van Alden's death and the close up of his dead body. He's shot in the back of the head by the undercover Mike Malone, with the exit wound through his eye, ending up with a Nightmare Face rivaling Richard Harrow's.
The terrified little girl in the Commodore's house and Nucky's Thousand-Yard Stare when he sees her.