Holly Whyte's description of what she'll do to Agnés (have her tortured to the point of death then use her healing magic to fix her so they can start again). "Of course I can't promise that the girl's mind will survive."
Florem is this big time when exploring the Mephilia and Artemia sidequests. The Petalhue hair dye and Spirit hairpin accessories are made from bits and pieces of the creatures the citizens worshipped: Florie wings for hairpins and Orochi snake fluids for the dye. The Florie wings secrete a fluid that brings out a person's desires, corrupting them in the process. The two girls who went to the forest succumbed to the wings and killed each other over it. The Orochi snake extract, called Nidaphyx, is a hallucinogen and drives people mad. Considering what happened to the girls, this would have been Florem's fate had the party not intervened. The Petalhue merchant, working for the Bloodrose Legion said that at the rate it continued, "Florem won't last a month."
Can we just clarify and reiterate the fact that two girls - literally children - kill each other with their bare hands over fairy wings while you're standing right there? Since you're fighting Mephilia you don't see it, but my god. That's creepy. Not to mention them screeching at each other as they pull a fairy apart between them right before the fight. And Mephilia's obviously insane, chattering on about how much she loves her sister and loves watching people betray and kill each other...and then she says there's another soul inside Tiz, right before she dies. Yeah, that whole scene is terrifying.
Artemia the Ranger is pretty creepy as well, having gone completley feral and having practically no sense of free will anymore. What makes it worse is Edea once knew her. Immagine having one of your friends lose their mind and consider you "prey" to "hunt"... Actually the Blood Rose Brigate has Nightmare Fuel aplenty: Fiore de Rosa, source of the Unfortunate Implications entry below, is also a member.
During the Fiore de Rosa quest, you can talk to one of the girls who's been subject to his pheremones. It's incredibly horrifying from an Adult Fear point of view, since she sounds scarily similar to a rape victim.
And he was this close to doing the same to Edea, AKA his boss's daughter.
The game's original superboss, Ba'al i; The Turtle Dove, only received from Spotpass. Its Uncanny Valley appearance brings to mind the witches from Madoka Magica. Its battle theme is not the usual Nemesis battle music and is instead a chaotic melody accompanied by Creepy Children Singing.note The actual title of the song equates to either "The Garden of Distorted Thoughts" or "Distorted Thoughts; That is the Devil King". Fitting, isn't it?
The reveal of the Big Bad near the end of the game. It's Airy the Fairy.
Airy's roaring in the AR movie. You can hear the chilling sound from just offscreen as Agnés looks visibly terrified, pleading for your help. To make matters worse, it is heavily implied that her friends are currently being slaughtered in the other room and that she knows she doesn't have long before she's next.
The illustration of Airy's Larva form in Ringabel's journal.
Alternis Dim's tendency towards Sanity Slippage can be a bit unnerving, especially as it happens a lot. Especially once you realize that it's Ringabel, and Edea points out he almost loses his mind in-game... after he's already lost his memories.
Alternis's comment during his first confrontation with Edea on the airship. He says he is not good at holding back, a hint at the the lack of self-restraint and mindset that proves his undoing in numerous worlds (though under the circumstances it's understandable and quite tragic) . It's also a rather dark reflection of Ringabel's personality, who is similarly unrestrained in a much more positive - if at times insufferable - sense. Both have good intentions, they just show them...differently.
Near the end of the game, Airy's failure to kill the party despite gaining power and full heals from Ouroboros causes him pull a You Have Failed Me on her and devour her... and you get to hear him snack on her... Brrr.
The Bigger Bad wants to kill everyone in the "Celestial Realm." We see a flash of the Celestial Realm, it is your 3DS camera picture. The Celestial World is our Real Life. If the Bigger Bad wins, the first person it's going to kill is YOU.
How about when you are starting the True Final Chapter, The End: Bravely Default. The usual chapter title screen appears, with its calm music box tune, and as it fades out—the first thing you see is Airy's Nightmare Face grinning RIGHT AT YOU before she flies around, hailing her victory.
The decription of what Qada's WMD precisely does is pretty horrifying, as delivered by one of it's undead victims.
The theme for the murder mystery sidequest is chilling to the bone.
The nemesis bosses can be very unnerving if you think about it. These Eldritch Abominations are emerging from the Great chasm and attacking Norende, requiring the party to fight them off. Each one has a recommended level to fight them at, and you can get ones at a much higher level than the party can ever hope to face. The worse offenders are the (currently) two Ba'al bosses, which have a recommended level of 99.
Ba'al's two forms deserve mention as well. Goldie is a giant jewel encrusted goldfish skeleton, and Turtle Dove is a bird skeleton. In a bridal outfit.... What!?
D's Journal, if you read the whole of it before experiencing events detailed in the entries, as it makes Agnés' quest sound like an evil prophet bringing destruction to the world which is not entirely inaccurate and ends in an ominous dark splatter.