This is based on opinion. Please don't list it on a work's trope example list.
Nightmare Fuel / Cold Days
When Harry is shown the the border of reality and the fairies fighting the outsiders. It looks like a WWI Battlefield and makes every threat ever faced in the books look tiny.
The timescale is also horrifying. The battle has always waged, since the beginning of time. Only, time at the Outer Gates passes much much faster than in the mortal world. So for every few hours of fighting and dying, falling back and losing ground the defenders of the gates make it through, the mortal world only gets a few extra seconds of existence.
The really horrifying thing? The one that had me feel like someone was hitting my brain's pressure points when I thought of it? An offhand comment Thomas made in Backup, in the light of this new knowledge. He says that they almost wiped out the Fae, but "The G-Men" (aka, the Grimm Brothers and Gutenburg - he being the inventor of the printing press) stopped them. Imagine what would have happened if they succeeded. I don't think the Outsiders besieging the Outer Gates would have gone away nicely when their opponents faded away, do you? Even if an appropriate replacement could have been found, one with both the will and capacity - there is always confusion when one fighting force is pulling out, and another replacing it. Add to that the fact that the fairies would have had to either break contact for their replacements to step in, or fight until they disappear and have their replacements waiting behind them the entire time, a steady reminder of their own inevitable fate - it would have been a slaughter at a critical moment of weakness. And that's best case, assuming the replacements could have been found before the fairies had completely lost their ability to hold the walls. Otherwise, the Venator in attempting to protect humanity, would have instead doomed it, and all of reality (possibly multiple realities, considering what Bob said), as Outsiders stormed walls undefended, Gates unguarded. The Gatekeeper of the time - the only one with the knowledge, apart from the Fae - would have either been slaughtered or elsewhere, trying to scare up replacements, and the Outsiders would have been able to sweep through all of reality. An army of Eldritch Abominations, whose only opponents suddenly vanish and suddenly have a nearly undefended reality, theirs to do with as they will. The road to Reality being overwritten by beings who make Giger and Escher look staid and unimaginative and Vlad Tepes kindly would have been paved with the best of intentions.
Not being known by mortals does not affect creatures in the Never Never, it only limits the power they can wield on the mortal plane.
Even worse: Imagine all of the nasties that are currently allowed to rampage through the world only because the Venators wiped out their countermeasure. It's entirely possible that the Wild Hunt had something that served a similar function to it as Winter to the Outsiders, but because that something was more visible, it got wiped out. Basically the Venators are bad, and they should feel bad.
The Venators aren't bad. They do the best with what information they have. Which makes it even scarier when they try to do what was described above. Takes Poor Communication Kills up to nuclear levels.
Word of God has it that the Archive secretly directs the Venatori under cover of her false claims of "neutrality". Presumably she knows the Winter Court is necessary, and wouldn't allow the Oblivion War to unmake them. Heck, one of Ivy's predecessors might even have introduced Mab to the Grimms for all we know.
The sheer amount of times Harry slips in and out of his psychopath side is disturbing to both him and everyone around him. Worst of all Bob said the influence will only grow over time and while he might not succumb to it yet, a few years could do a number to him until he makes Lloyd Slate look like a schoolyard bully.
His psychopath side itself. It's scary to watch him slip into possessive, primitive desires for people he cares about, especially when before becoming the Winter Knight he wouldn't have thought twice about the things that set him off. And Molly, when she's close and accidentally triggers his anger, feels all of it, and knows what he wants to do.
Consider also the way Maeve (presumably under the thrall of her own mantle) played with Harry-as-Winter-Knight, as well as Slade before him... and consider that Molly now bears that mantle, has the mental mojo to feel Harry tripping along the edge, and, worst of all, her own unrequited love for him.
The reveal of what exactly is underneath Demonreach. The whole island was created and enchanted by the original Merlin, using magic so powerful that even BOB doesn't understand how it works. The kicker? All of that power was necessary because the island is a prison for Eldritch Abominations so powerful that it has 6 Naagloshii in MINIMUM SECURITY. The inmates are so powerful that the tiny amount of power leakage from all of the beings in the prison- their body heat- is the basis of the massive leyline of dark energy that runs beneath the island. If they ever get out, the world would end. Don't worry, though. They'll never get out because if the enchantments on the prison fail, it triggers the fail-safe mechanism that will slow them down long enough for reinforcements to arrive and get inevitably slaughtered. Oh, and the fail-safe is an explosion that will take out most of the United States.
Just to cap it off, try imagining what life must've been like for normal people before Merlin locked all those abominations away.
In the cottage, Harry accidentally knocks over a jar, cracking it, and sees that the other jars in the vicinity include the black plague and countless other deadly diseases. The one he cracked? Wormwood.
While He Who Walks Before (a.k.a. Sharkface) doesn't have nearly the same Nightmare Fuel quotient as He Who Walks Behind, he's still a creepy mofo. He's a tall, skeletal humanoid with a prehensile cloak, scars where his eyes should be, and a ridge of solid bone instead of teeth, and he's constantly drooling black saliva and has a seriously nasty psychic punch.
It's still creepy as hell when you think about what his Name means. He Who Walks Behind, was always behind Harry, getting closer, and closer, and closer. With a guess He Who Walks Before starts out beside you and walks further and further ahead, no matter how fast you run, you'll never be in time to save anyone because he's one step ahead of you. Either this is another advantage of Harry being a Starborn, with power over outsiders, or he just didn't build up enough "distance" to render the situation entirely without hope.
Not as horrifying on an apocalyptic scale as most of the above, early in the book Dresden shatters a fey lord into pieces. Which given the statement he was making is pretty awesome. But then he starts dancing with Mab as the pieces crunch under his feet. Harry dances with his queen on the crunching frozen gore of their enemies. There are supervillains who would draw the line at that.
Mother Winter after Harry becomes desperate enough to summon her. That is all.