This is based on opinion. Please don't list it on a work's trope example list.
Nightmare Fuel / Dangerverse
Just the *thought* of what would have happened if Remus hadn't seen Danger in the first place. Remus' inner monologue right at the beginning of Chapter 1:
Why am I even bothering anymore? Tomorrow, Iíll call the local authorities just before sunset and report a rabid animal on my property. Then Iíll leave the door open. End of problem. End of everything.
Danger's description in Chapter 1 of finding her parents dead.
Danger's showing Remus, at the beginning of Chapter 3, how Harry reacts to her cupboard. The thought of Harry alone in that little, dark space... (but that's horrible in canon too, just hits home even more here)
Chapter 4, if Danger hadn't arrived in time. It was bad enough when Remus was looking for death; what if he'd gotten out transformed when he'd just had his reasons to live renewed?
Harry's POV in Chapter 7 after being with the Dursleys for two uninterrupted weeks (Danger's comment is, "He's alive, they didn't kill him, and that's ALL I can say"):
His tummy hurt. His head hurt too, and his arms where Dudley had punched him, but his tummy more than anything. And his head felt funny. All kind of swirly, like he felt after Danger twirled him around and around. He whimpered a little, thinking of Danger. He wanted her. He wanted her to come to the door and smile at him and pick him up and hold him close. Aunt Petunia and Uncle Vernon never held him like that. Why didnít Danger come? Why didnít she love him any more? They took him to another lady now, an old lady who smelled funny, and she gave him good stuff to eat like Danger had, but she never cuddled him the way Danger did. And she never played scary wolf chase like Moony, or sang to him like Letha. His nappy was all wet and messy. It hurt, but he couldnít get it off. And it was dark. It had been dark for a long time. He had been alone for a long time.
Chapter 8, in which we get a look into Azkaban, arguably the home of all nightmares:
It was always dark. There were just times when it was darker than other times. There were only three things to do: pace, concentrate on the truth, and listen to everyone else scream. Well, four things. Wondering when Iím going to be screaming too. Thatís taking up more of my time lately.
Draco being "dead" in the hospital wing after he touches the globe.
What the Death Eaters intended to do to Hermione, Ginny, and Luna: brainwash them into being obedient, docile girls who would exist only to be sexually assaulted and have babies...and be happy about it.
Draco getting the Mark
Draco being brainwashed by Malfoy to think he was mistreated his whole life with the Pack.