This is based on opinion. Please don't list it on a work's trope example list.
Nightmare Fuel / Changeling: The Lost
The entire Changeling: The Lost line is terrifying. At any moment you could be dragged away by immortal, unstoppable fae creatures and turned into their slave. If you ever regain your mind and fight your way back into your own world, you find a double has been leading your life and you've been physically warped by your whole ordeal. It's the sort of thing that keeps you awake at nights, jumping at every little noise.
And all of that happens to your character before the game even starts...
And if by some miracle you become powerful enough to convincingly oppose the True Fae, you are almost certainly too far down the road to turning into one of them to ever turn back. Enjoy!
The premise of the game is that you were abducted into Arcadia by the Fae and subjected to mind rape, soul rape, torture rape, and/or actual rape. For years. Until the abuse metaphysically changed you into something not entirely human. Meanwhile, a 'fetch' has been left behind to wear your face, own your memories, live your life, and eventually die in your stead. So assuming you finally escape, you are (at minimum) unable to live a fully normal life, bear all the PTSD and then some of having survived years of literally inhuman abuse at the hands of Eldritch Horrors who are nigh-omnipotent in their home realm, and are still being hunted by said horrors. Oh, and since the fetch is created unknowing of its role as an impostor, getting even a fraction of your old life back requires you to murder an innocent being. But this isn't the Nightmare Fuel. Oh no. The Nightmare Fuel is all of the above is the True Fae reproduction cycle. That's right. The purpose of kidnapping you and twisting and breaking you into something not entirely human? Well, if your Wyrd score gets high enough as a Changeling, you can become one of the True Fae. Seriously, it's all right there in the Equinox Road supplement, particularly chapter 2. Of course, you may still may try to Screw Destiny...
Becoming a Changeling requires only three things: Entry into Arcadia, sufficient exposure to Arcadia to acquire certain Arcadian characteristics, and a return to Earth (technically, the last isn't required). Usually this involves unpleasant or flatly traumatic experiences, but they're not essential, just extremely common. The main author has said that he wanted to avoid romanticizing abduction and imprisonment, and in retrospect went a bit too far the other way.
Also disturbing is how the four Seasonal Courts of the Changelings, and their different approaches to life, map almost exactly to four of the possible reactions for survivors of sexual or emotional abuse: hedonistic escapism (Spring), violent acting-out and revenge fantasies (Summer), abused-turns-abuser (Autumn), and paranoia (Winter). Notice how the faction of "eventually overcome the trauma and move on with your life in a healthy fashion" doesn't exist in Changeling society.
They also map to the five stages of Grief, also without Acceptance:
Spring Court is Denial, pretending that they've taken all the good things from Arcadia and ignoring the bad.
Summer Court is about taking out violence and Anger.
Autumn Court is about Bargaining their time away by with the occult.
Winter Court is Depression. They hide from the world.
More interestingly, one could see Privateers (Changelings who work as mercenaries for the True Fae, which usually entails dragging OTHER Changelings back to Arcadia) and Loyalists (Changelings who either didn't escape before they were totally brainwashed, or escaped and are being heavily blackmailed to do their Keeper's bidding) to encapsulate Acceptance. And becoming a True Fae at Wyrd 10/Clarity 0 could be seen as Understanding.
Also of note is the fact of how the founders of the Seasonal Courts made their Courts: By besting the Anthropomorphic Personification of the seasons at their own games. Mother Susan had dreams of motherhood that were ruined by the fae infertility. She forged Contracts with who-knows-what, and then gave her child up to Spring. Sam Noblood took a tree branch of autumn leaves as a spear and chased down Summer itself and forced it to make the pact (okay, that's not so much Nightmare Fuel as it is awesome). It's not said how Clay Ariel got the pact with Autumn, only that she left with no weapon and a 'wry smile'. Considering the Autumn Court draws its power from Fear, whatever did happen must have been Nightmare Fuel. Snowflake John disappeared and came back two years later, claiming that because Winter couldn't find him, he got the pact.
And if the Seasonal Courts bother you, then how about the fact that there are eight other courts, and they're arguably just as terrifying?
The Courts of Sun and Moon are perhaps the best matches to the original. They're defined by the emotions of Shame and Disgust, respectively, and so seek to invoke and promote these emotions. The Sun Court is a textbook case of Light is Not Good, but the Moon Court is a case of Dark is Evil — their iconic holiday, Korochun (the Winter Solstice) is a night of mayhem, murder, torture and excess, culminating in the Human Sacrifice of a man and a woman.
Clarity, the morality stat equivalent from Changeling: The Lost almost perfectly mimics PTSD as the consequences of its lower values. At 0, the least disturbing thing that can happen is just mysteriously vanishing forever. Instead, you can go into complete nonfunctioning catatonia as the scope of your trauma finally fully catches up with you... or become debilitated by constant hallucinations that you never escaped your torment.
Even the True Fae themselves aren't immune. A big part of why they're constantly looking for sources of conflict and struggle in their "lives" is that they cease to exist without it. And one of the best ways to make a source of conflict that gives you an "other" to define your own existence against? Making a Changeling.
Oh, please, that doesn't even begin to describe the nightmare fuel of being a fetch. Think about it; you're a normal man, woman, child, just living your average life. And then things start to go mysteriously wrong for you. You wake up from terrible nightmares, awful things filled with blood and death — your death. And then you start to see it. A monster, wearing your face, stalking you. It might seem to vanish from the shadows, or look at you out of a mirror, or shift shapes into some harmless beast, but you know it's always there. Watching you. From there, you got two choices:
You panic, trying to run, to hide, to fight, but it's all in vain. The monster catches you, and it kills you, glowering as you drown in your blood. And the last thing you see is your body falling apart into assorted rubbish.
The monster confronts you, and tells you what you are — you're not a person, you're a thing, a cobbled-together simulacrum of a human created to disguise the theft of a real person from this world. And that person who was stolen? They're the monster telling you this.
From 2E spoilers, we have Huntsmen, hobgoblin mercenaries of the True Fae sent to retrieve their stolen and escaped property. Spoilers also have icons, bits of your identity embedded in the Hedge. If a Huntsman finds one before you do, he knows where you are. Period. Oh yeah, and they're all Voluntary Shapeshifters too, to the point of one quite capable of pretending to be a toaster for days on end. Sweet dreams!
From more recent spoilers, we can honestly say the Huntsmen? They're worse.They'reso much worse.They're lesser fae native to Arcadia that the Keepers, in their obsession to regain their old property, forced into a physical form so alien to them, their dominant feeling is sheer, unbridled agony, and told that if they want to go back to normal, they are going to get a specific changeling and bring them back. Each one of them hates you for providing the impetus to force them into such a horrifying state, and due to a combination of playing to the story of the Hunt and their own anger towards changelings in general, they're Sadists who prefer to slowly wear down their prey until they're so broken they submit willingly to the chains. Killing one, or forcing it to run out of Yearning just (messily) banishes it to Arcadia for two weeks, and when it comes back, it will murder a random bystander just to remember how mortal life works, then keep coming. Worst of all, Huntsmen are smart; they know just how afraid of them changelings are, and so, they've all agreed to accept something called a Token of Reprieve as a successful Hunt and leave their target alone. How does one get a Token of Reprieve? Finding another Huntsman, and agreeing to sell their current target out. It's really amazing the Lost have the courage to get out of their house in the morning-not that it'd save them.