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Nightmare Fuel: Coheed and Cambria
"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..."
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!