This is based on opinion. Please don't list it on a work's trope example list.
Nightmare Fuel / Coheed and Cambria
"Al the Killer", full stop. He's a serial killer and he has a type in blonde white women. The comics take it to the next level by showing his victims hanging naked by meat hooks in a freezer on his ship.
"Three Evils" has what is probably the most disturbing Ear Worm ever. "Pull the trigger and the nightmare stops, pull the trigger and the nightmare stops..."
The lyrics themselves are so disturbing that Equal vision made the band issue a disclaimer in the lyrics booklet stating that the lyrics are in the context of the story and not meant to be taken seriously.
Also from "Three Evils" comes the filler track that segues into "The Crowing". It contains a slow, but rather creepy buildup that goes from street-level outside a pub to down in the sewers where a soft whimpering is heard that explodes into a loud "SKREE-" sound. It's used (at least, according to fanon) whenever an Onstantine Priest is lurking around.
Claudio also made a quite graphic Willing Well IV: The Final Cutnote (which is, in itself, pretty creepy: "You're a selfish little whore, I'm the selfish little whore/if I had my way I'd crush your face in the door/THIS IS NO BEGINNING, THIS IS THE FINAL CUT...open up/THIS IS NO BEGINNING, THIS IS THE FINAL CUT...oh, I'm in love" - It's a Dream Sequence where a character imagines themselve being taken to a guillotine and killed) video which shows himself (not in Real Life) torturing his (Real Life) girlfriend...creepy...
"Ten Speed" doesn't have a very frightening music video, but the song itself is about a man arguing with his bicycle about killing off a fictional character based on his girlfriend. In the interlude, if you listen closely, you can hear a bit of their conversation.
Ten Speed: But are you going to kill her off?
The Writer: It's not your decision. I love her character, she stays.
Ten Speed: Yeah, well the only thing love's done is put you in this position; I say kill her off!
The Writer: Yeah, but you say a lot of things... how does that work? You're abicycle!
Much by Coheed qualifies as nightmare fuel, what with the lyrics about murder and all. Even if it is in the context of an epic science fiction story.
"Everything Evil" is just... ugh. Most of the song has a tense feel, mostly lending to its simple instrumentation and extremely intense atmosphere. Thankfully the song changes key near the end to ease up (some of the tension), but even then, the lyrics get in the way: about two parents forced to kill their children, one of whom was gang-raped. The original version is bad enough, but the version on the re-issue is worse- a door-creak is heard at the beginning, and at the end, a creepy piano melody is heard.
The "passage of time" melody that appears throughout the band's albums (best known as "The Ring in Return, though that isn't the first appearance of said melody). It's creepy, dark and mysterious; the first time we hear it, it's a terrible-quality grainy piano recording, and the second time, it's thankfully in a much less nightmarish orchestral version. The next time we hear it, it's in a spooky glockenspiel recording with creaking noises in the background. We hear it once more in a sorrowful string version.