This is based on opinion. Please don't list it on a work's trope example list.
Nightmare Fuel / City of Heroes
The "Dark Astoria" zone. Permanently twilit and fog-enshrouded, with the sounds of muted bells and wind in the background, and populated by ghostly pedestrians who are visible only from a distance and vanish if you get too close to them — except for the items they're carrying. (It also doesn't help that Astoria's neighborhoods and landmarks are named for horror movie directors.) Compared to the environment, the walking dead, evil shamans and malevolent spirits inhabiting Dark Astoria are something of a welcome relief.
The Croatoa zone itself isn't that frightening (it's rather beautiful, for a pixellated environment). Some of the instanced missions within the zone are another story. Mainly the ones involving the ghosts, which look like floating, green-glowing, slightly zombified people who as they attack shoot several black, glowing skulls at you. And especially instances with the "spectral chill" fog, that you can't see through, and which lowers your combat capabilities.
For a real nightmare moment, turn up your sound enough to hear the death sounds for the Croatoa Ghosts. When they snuff it they make bloodcurdling screams of dying agony.
The First Ward. Originally meant to be a shining example of what life could be under Emperor Cole's rule in Praetoria, before that reality's version of the Hamidon tore into it. But that's not even the worst of it. There's all sorts of paranormal spookiness going on, and the player would end up discovering some creepy things...
The Apparitions—they don't have any real distinct form, project blasts of penumbral darkness, and seem positively unhinged when they do speak. But it gets worse: when looking into the memories of a rogue Seer, you find out that these aren't even proper ghosts, but the fractured memories and personality traits that Mother Mayhem lanced from her "patients" to make them more compliant! Sweet dreams...
One of the alternate universes you could explore when doing missions for Portal Corp is a dead world populated by nothing but ghosts, similar to certain Croatoa missions. And all the ghosts are REALLY angry at you for some reason, calling you a traitor and thinking you were killed ages ago. Eventually you find the diary belong to This Universe!You... who has killed every single person in the ENTIRE UNIVERSE. It seems that this version of you is also dead judging by NPC chatter and the fact that you find this diary in a pile of bones, but... what if s/he isn't? And even if s/he is, there's still the fact that you now know are capable of being the destroyer of YOUR world. Just one bad day away...