Similar to Big Finish, some of the Expanded Universe novels and audiobooks have their moments. The latter includes David Tennant's seriously creepy voice for the monster in Day of the Troll: "Come under the bridge..."
To emphasize, Tennant somehow manages to speak the voice of the Troll whilst INHALING.
Even worse in Tennant's run is the audiobook Dead Air which is recorded and staged to make it seem like a genuine BBC recording which has been recovered from a sunken ship, being played "for the very first time" on live radio - the enemy is a sentient weapon, a creature made entire out of SOUND (not to mention a Time Lord creation) that infects and eats everything that makes a noise, and everything that hears it. All throughout the book (which is recorded at an ever so slightly wrong pitch so Tennant's voice sounds just a little off the whole time) we're treated to the spectacle of people being devoured by this machine, stripped to mere soundwaves, their identities stolen by the weapon. The audiobook ends with only the Doctor still alive, everything else having been destroyed, and with him telling The Virus that by recording the very audiobook you're not listening to, he has trapped the weapon inside it, where it will be stuck forever... Unless someone else listens to it. Well guess who's listening to it right at that moment?
Winner Takes All is a prime example of what you can't show on TV. A guy's brain EXPLODES as evil alien porcupines use a machine that tortures humans.
In The Resurrection Casket there is a cyborg girl named Silver Sally whose entire left side is made of clunky machinery that runs off steam in order to keep her alive. Later we find out that Sally is actually "Salvo," an assassin robot who was damaged, and the metal machinery is her real body. She grafted on the human skin and organs in order to keep the robotic parts running, not the other way around.
Doctor Who manages to be damned creepy even in Flash-animated webisode format. In Scream of the Shalka, we're told how one of the characters' friends died at the hand of villains who already exemplify Paranoia Fuel before we ever see them or know what they do: she was forced to cover her body with lava, screaming and begging the entire time, having no hands by the time it was over, until she finally covered her face with it, at which point she became entirely petrified, becoming the humanoid-ish rock formation seen on the street earlier. How bad are they? It's such a relief to finally see them, to have an image that's inevitably friendlier than the one your mind's conjuring by now. It really has to be watched to be properly understood or appreciated.
Later the aliens physically control an entire village and force them to walk to a location for their own purposes. They come across two innocent men whose only crime is standing in their way. The village tear the two men apart. Not of their own choice, you understand, but imagine being in their place. Being forced to tear someone limb from limb, with two hands you can no longer control, unable to do anything but watch.
In the Doctor Who New Adventures novel Human Nature, during the skirmish with the Aubertides. The student who's manning the Vickers gun turns around for a second to talk to John Smith, gets hit in the back of the head with a dart, mumbles "I'm sorry", and then his head explodes. It sprays blood and brain matter all over John Smith, Bernice Summerfield, Joan Redfern, and the room full of school children sitting next to him. Smith then clings to the body in shock, rocking back and forth while the neck stump still spurts blood.
Then there's the fates of the people who tried to push through the time barrier.
And the fate of Gallifrey should the Aubertides get the Doctor: They breed like crazy and take the Time Lord Citadel through sheer force of numbers. We see Flavia and Romana on their knees before them, whilst August asks them for a link to the Matrix. When they refuse to give it to him, he slices open Flavia's neck so she'll regenerate and they can keep on chopping. He then turns to Romana and we are left to assume she will suffer the same fate. Oh yeah, and the members of the High Council are being paraded around, hanging from poles.
Damaged Goods, Russell T Davies' contribution to the Doctor Who New Adventures novel series, features a cavalcade of horrors including an undead half-mechanical drug dealer, machines exploding out of people's heads, a man experiencing hellish hallucinations while delirious from being stabbed (and giving himself makeshift stitches with a sewing kit), and a woman killing her husband by lovingly preparing a rat-poison-laced dinner and forcing him to eat it in front of her.
The Adventure Games don't shy away from this either. In Blood of the Cybermen, the Cybermats return, now spreading a virus that converts flesh into metal.
The fourth game in the series is titled Shadows of the Vashta Nerada, which features the creatures of the title, now underwater!
The Eighth Doctor Adventures are much Bloodier and Gorier than the TV series, and the Doctor gets the worst of it. Case in point? The (theoretically) Affably Evil villain rips the Doctor's heart out of his chest bare-handed. The villain in question has hands the size of hams and ripped the Doctor's heart out of his chest while he was awake and screaming. Previously this villain wasn't much of an antagonist; this scene comes shortly after he was the best man at the Doctor's wedding, which makes it so much worse.
The EDAs certainly didn't shy away from terrifying their readers. Anybody remember the Krotons? They killed and ate the crew of a Dalek warship.
In the DWM comic 'The Flood', a group of Cybermen from the future use what can best be called 'emotional rain'. This rain causes humans to experience extreme emotional attacks. This leaves the victims so traumatised by the intensity of their experiences, that when the rain cuts off, and the Cyber Leader offers the humans freedom from their emotions, they all go willingly for conversion!
Astrolabus' final fate in "Once Upon A Time Lord", as Voyager reclaims his star-charts. We only get to see Astrolabus' arm afterwards, but that's enough.
Faction Paradox are a group of time-travelling psychos who are fucking about with time because they can, led by someone who is the accumulation of everyone'sevil future version. Their starships are built from skeletons and they wear skull masks taken from beings that don't actually exist.
Other unpleasant experiences in the Expanded Whoniverse include the monstrous, nigh-on unkillable monsters of Storm Harvest, the Demonic Possession of The Fall of Yquatine, the alien horrors of Island of Death, the Mind Screw of Verdigris, and the entirety of The Ancestor Cell. So, basically, it's just like the TV show when it comes to making you wish you'd stocked up on sleeping pills.
Now let's talk The Ancestor Cell, which was scary partially because it featured the Doctor dealing with The Virus (in the form of Faction biodata from a failed attempt to take over a sentient ecosystem), partially because a Faction agent cheerfully murders a Time Lord young rebel who'd been sucked into a Faction voodoo cult as a sacrifice to bring one of the Faction's Fathers out of the Vortex, partially because that selfsame Faction agent was proud of having repeatedly murdered her own father by travelling back in time, killing him, setting the destination dial on the time machine back a few hours, and killing him again, and partially because they rape Gallifrey's history. Several times.
From Lungbarrow, which is mostly just creepy, there's this sleep-robbing gem:
'These candledays you can only see up the West chimney,' Jobiska said sadly. 'Cousin Luton thought he could climb up the East chimney, but he got stuck. We could hear him regenerating for eleven candledays. That was five hundred and six years ago and he's still there.'
The Doctor's companion Compassion is transformed into a sentient TARDIS through a series of unfortunate events. She's more powerful then the Doctor's old TARDIS, and is armed. That's not the scary thing though, that's the fact her entire internal dimensions are mapped on her own mindscape. She doesn't have much of an imagination until she becomes a TARDIS where everything becomes metaphorical. She also doesn't have much compassion (her name is intentionally ironic). She still dreams though, and her dreams become part of her internal dimensions. One dream is behind a door called "that dream about Fitz", all we hear is Fitz's screams from behind the door. She makes the Doctor and Fitz live in the part of her that is "the dark side of her mind" because she hates the Doctor because he's a Time Lord (and innately tries to control her) and pities Fitz because he's human. At one point she dumps shoes on Fitz's head with no reason given. All of her internal dimensions are described as dark, haunted and shadowed. Then at one point she warms the breeze that haunts the console room to warm and soothe Fitz, so everything else is either intentional or just because of her apathy.
Winner Takes All is a story about giant porcupine-like aliens called Quevvils recruiting humans to fight their war for them. They're fighting a war against giant praying mantises? You know, those insects that will rip each other's heads off at a moment's notice? A man called Darren ends up beheaded. Granted, he is a Jerkass, but it's horrible. And then there's the scene when the Quevvils make a man's brain melt, and we get a graphic description of him screaming in pain and then the brain juice coming out of his ear. It's like the books are written because they can't be allowed on television!
As a Viral Marketing campaign, there was a BBC site called "Ghostwatch" (not to be confused with the horror Mockumentary), which was meant to tie into "Army Of Ghosts", where your goal is to get the "ghosts" on camera. After that's said and done, you're put in a different type of game where you direct the cameralady to a "Ghost" before time runs out. There are many ways this can go, such as finding a cat first, but it will end the same way every time, whether you wait for the time to run out, find the "ghost", or look at a conspicuous truck, the cameralady will shriek in fear as A Cybus Cyberman deems her incompatible and murders her.
The ending of A Fix with Sontarans is much Harsher in Hindsight—what would Jim have done to Gareth if Six and Tegan weren't there?
Even the official Doctor Who documentary Thirty Years in the TARDIS ends scarily! The little boy who's guided us through the documentary is at the mercy of a Sontaran-controlled Elisabeth Sladen, Nicholas Courtney is trapped in a Lexus with an Auton chauffeur...
Engines of War has Rassilon's experiments with retro-engineering timelines to create beings who can see all time. When he succeeds with Borusa the result is so hideous the other Time Lords can't bear to see it and it is hidden in his Tomb.
The book also has the Daleks developing demat weapons and successfully performing a Ret Gone on a lot of humans. They come close to doing this to Gallifrey.