Every time Dexter has a flashback to his mother's murder. To whit, the sight of a two year old child drenched in blood, with the alternating sound of his mother begging her killer not to do it in front of her son and her telling Dexter not to watch, which then segues into the sound of Dexter crying mixed with his mother's screaming as she is cut to pieces with a chainsaw. No wonder Dexter is so messed up.
Any of the times Dexter talks to his about-to-be-dead victim has slight indications of this, but when Dexter finally finds the man who killed his mom, well...
The Trinity Killer:
A batshit insane killer who "kills in threes": a death in the bathtub, a death made out to look like a suicide (by falling), and a bludgeoning. The key here is that the said falling kill has him say that if his victim doesn't do it, he will go back to her (it's always a woman, mother of two) house and kill off her relatives one by one. Then the bludgeoning. In the one we see in the show, he claims that "you made me do this" in a rather sad tone. And the bathtub one shows him naked.
His very first appearance consists of him physically overpowering a small woman in a manner that is very reminiscent of sexual assault (both of them being naked), and then sticking a razor blade between her legs in the tub.
There's his absolutely chilling forcing of a woman to jump to her death, with her begging him to push her because she's too scared.
His incredibly brutal beating of a man to death with a hammer.
Lithgow's ability to go from a cold authoritarian monster, to a psychotic man child crying over his own crimes to a God-respecting family man is perhaps more frightening than his crimes themselves.
How Arthur Mitchell's sister died: slipping in the shower, which shattered the doors, which led to her cutting her femoral artery on the glass and bleeding out. Oww oww FRICKING OWW!
Made even creepier by how it happens; she catches him peeping on her, and, naturally, freaks out, causing the accident.
The Barrel Girl Gang made DVDs of them torturing and raping their victims. Mercifully, virtually nothing is shown but the screams definitely qualify as this. Lumen's is especially horrific.
Mike getting shot and killed in the Season 7 premiere. Consider this: if you were driving at night and saw a man in a nice suit standing by his broken down modest-income car, struggling to change the tire, wouldn't you stop to help him?
Comparing to the rest of the list, maybe minor, but still: the husband of first Trinity bathtub victim. Imagine that you come back to see your spouse murdered, then you're tried and sentenced for killing her, and then you're accused of another homicide done in similar fashion. Pretty horrifying.
Season 8's "Scar Tissue". It's not the scene of Deb crashing the car she and Dexter are in into a lake to purposefully kill them both, only for her to be saved by a fisherman, and for her to swim back and save her brother, no, it's the sound of a muted harp glissando when they rise from the water in the final second that conjures dark images to mind. It's not the only example of the show's musical score frightening the crap out of its audience, but even headier scenes like Season 6's finale didn't have scores this commanding.