Especially if you've played the original game and know which parts of it are true.
The dream (or possibly nightmare) Adam has in the trailer, with a group of men in a cathedral during the Renaissance, studying the corpse of a man with dissected arms, who looks exactly like Adam himself. Adam's spirit then rises from the body, grows angel wings and ascends, before they are burned away, Icarus style causing Adam to plummet to the ground. A perfect metaphor for the Transhumanism in Deus Ex, but also incredibly creepy.
The hidden FEMA base in Highland Park. Going down the elevator, seeing floor after floor of mercenary battalions and Boxguards... it's bad enough to think Oh, Crap at the notion of facing this massive force, but the true Fridge Horror comes when you realize that nobody in Detroit knew about this place. If they didn't evacuate, they could have easily swept over the city before anybody realized what was happening.
It gets worse...only Belltower and the Tyrants were pulling out. Their notes state to stay professional because they might have to come back and work with FEMA again. Meaning that the interment camp is in fact still fully staffed and operational, waiting for the order to come in to start detaining people.
See this◊? Every one of those boxes transforms into one of these◊.
What's going on at Omega Ranch, especially seeing the numerous experimental subjects followed by the refrigerated morgue.
What happens when Hugh Darrow initiates the signal.
Hyron. Just look at some of the sentences it leaves at the bottom of its official messages, and what it is powered by.
Even if you know or suspect what Hyron is already, the final fight against Zhao connected to the Hyron hub takes it to a whole new level. Dear God. Just listen to the Hyron drones...
The experiments mentioned by the former White Helix employee, of which Adam was the only survivor. Adam was a baby at the time.
The emails and conversations that make it clear that David Sarif went far beyond what was medically necessary when rebuilding Adam, going so far as to cut off one of his arms and both of his legs just to add more experimental augmentations, along with everything in the company catalog. The Fridge Horror comes in when you realize his boss was just waiting for a chance to butcher Adam and experiment with his cyber-friendly system. Maybe it was just For Science!, Sarif knowing about Jensen's "specialty", but YMMV on whether that makes this better or worse.
Two of the scariest areas for some were the room in the FEMA facility immediately preceding Barrett's fight and the dissection rooms in Omega Ranch, both of which embodied Nothing Is Scarier. The first has a corridor which, at first glance, appeared to be filled with large crates. But, on closer inspection, it turned out to contain hundreds of inactive boxguards (read: combat robots eight feet high and wide when compacted). None of them activate, but they keep making noises. And in the dissection rooms? All those signs about handling 'subjects' and avoiding contamination, and obviously there's something on the tables, and just as obviously those 'somethings' are not human.
While hardly the scariest thing you'll ever encounter in gaming, Adam's initial steps into the Picus building is incredibly unnerving. Having Adam walk through the pristine but recently evacuated and empty news room of the world's largest media conglomerate, spilt coffee and all, is just plain creepy. Especially when you start reading emails from employees who've been told to pack up and leave in a hurry...
Becomes extra worrisome if you've played First Encounter Assault Recon, which has the introduction to the Armacham building play out similarly. You'll be half-expecting Replica troops or Belltower goons to come out of nowhere following the mind-shattering manifestations of a psychotic little girl in red....
The Missing Link DLC adds a ton of this once you get down to the science labs. More specifically, you get to see all of the consequences of being selected for the Hyron system. Random women are taken off the street, incarcarated in an offshore base for no reason, then sent down to a lab for testing. Those who are incompatible for whatever reason (augmentations are one such factor) are killed or shipped off to the Omega Ranch. The compatible ones are placed on an operating table for God knows how long as they have their spines removed and refitted with augmented ones. Many die halfway through this process and could be considered luckier for it. The survivors are shipped off to Panchea to interface with Hyron until they inevitably die from the turmoil (it takes about a year for this to happen). Small wonder that one of the detainees you find in the labs begs for you to kill her.
The Harvesters gang. Exactly What It Says on the Tin. It's bad enough that muggers in the real world jam a gun in your face and take all of your money. But these guys will rip your arms and legs off so they can sell them or keep them for themselves and leave you bleeding in the street. Granted, they are cybernetic, but if they are linked to your nervous system...
The white room where you find Megan Reed, the room itself seems wrong, but there is also a crash test dummy in the corner that sways slightly, as if breathing..
You know the status that dummy has (yes, it has one): dead.
The augmented people on Panchaea who have been affected by the signal. One terrified woman screams at Adam to stay away from her and that he's a monster because he's augmented. At first, she seems like an ungrateful bitch to the highest degree, but her absolute terror is a lot more understandable once she tells you that she saw one of the crazies rip off a guy's arm and beat him to death with it.
They're scary enough on their own, but just imagine becoming one. The process is said to involve hallucinations, and they're clearly paranoid, not to mention their Enemy Chatter suggests that they're terrified of Adam and put in intense pain whenever he makes a loud noise. Honestly, you're doing them a favor by taking them down.
Being chased by the crazy augs on Panchaea. The way they run is... unsettling. The noises they make and the way they surround Adam and start attacking them with their bare hands in an attempt to tear him apart are rather unsettling. Depending on how much zombie-like enemies who run and can open doors freak you out, a Pacifist run might be hard to achieve at this point, if only because downing them all in a hail of bullets may just feel like It's the Only Way to Be Sure that they'll stay down.
By this point in the game, the player has had time to experience a rich, multidimensional game world and develop an attachment to it. To see this world unexpectedly descend into a zombie outbreak... The effect is arguable stronger than most zombie-based games, where the outbreak has already occurred. Rather than just accept the world as already lost, the player gets to experience the first moments of panic that an actual outbreak might produce.
The "Suicide Apartment" in Hengsha Court Gardens. It's easy to miss, but if you hack the Level 1 security panel and go in, the first thing you see is a pooled bloodstain on the floor, and blood spatters on the wall — just like someone had their brains blown out. Travel to the bedroom, and it looks normal enough — until you notice the large bottle of pills spilled all over the floor. Go into the bathroom, and there's a toaster sitting in the bathtub, along with revolver ammo on the side of the tub. Emails on the apartment's computer imply that the occupant was starting to complain a bit too loudly about Belltower's presence in the building, so it's reasonable to assume the current state of the place is the result of Belltower's half-assed attempt to make the occupant's death look like a suicide.
An in-universe example exists in The Missing Link DLC. To the NPC mooks, You are the Nightmare Fuel. This is especially so if you're going for that elusive Factory Zero achievement because Jensen's resourcefulness and efficiency is all that it takes for him to defeat a well-equipped private army. As one NPC states, "Don't be fooled by the low body count. That just means he's more resourceful."
Speaking of previous Nothing Is Scarier moments, Panchaea before the confrontation with Darrow is all about this. Blood stains are on the wall, corpses are on the floor, and various booby traps are laid everywhere just to prevent other horrors from breaching an area. While the previous levels that were seemingly void of enemies at first had a reasonable, calming reason ("Hey, at least they bothered to evacuated!" in one instance, likely because of a suspicion of you) for being completely deserted, the fact that you know something horrible has happened, and is still happening here is a different sensation. Especially the ambient sound. Just listen, and you'll hear insane rambling coming from seemingly nowhere mixed in between the otherwise fairly silent background. The one time you meet an insane augmentee is from an extremely obvious, barricaded room with only one entrance, and by then you're shuddering at how many others are nearby, just lurking out of vision... And then you actually see hordes of them, everywhere.
In a somewhat meta sense, one of the most effective instances of Nightmare Fuel in the game (and having nothing to do with the enemies and locations) is Jensen himself. Consider the crap he goes through as part of his backstory alone - which is slowly being revealed, i.e. dumped on him, while he deals with the crap that happens to him during the events of the game. The realizations that his parents were not his own, his childhood thus a lie, the fact that he is the product of a testing program never described in detail, but sure to be horrifying, the SWAT incident and the way his superiors framed him, Megan's death, the fact she's not dead at all but quite likely working for the enemy plus the fact that she might have just used him, being augmented against his will and not able to do anything about it, the discovery of the conspiracy reaching further and further, the general crapsack state of the world he witnesses, actions he has to undertake that go completely against his mindset as a former cop under pressure by his own boss, Malik's potential death at the hands of Belltower...and that's not even the third of it. Now consider what something like that, happening in a short amount of time, could do to someone's mind - Broken Bird does not even begin to describe it. But when the bird in question is one of the most heavily modified beings in the world, more machine than human and superior to almost any enemy in a one-on-one fight... In short, one way you can play Jensen is as He Who Fights Monsters, a former cop with a strong set of morals turned into a remorseless, heartless killing machine leaving a river of dead in his wake - and it would actually be a plausible result of his fucked-up life. Depending on playstyle, Jensen could in the end turn into the very thing that he tried to fight - a machinelike monster drunk on his personal power.