This is based on opinion. Please don't list it on a work's trope example list.
Nightmare Fuel / Dream Theater
Scenes From a Memory is incredibly unsettling. It begins with a very calm hypnotist and then his patient relating information. All of the spoken word aspects are very monotone, but the singing sounds strangely upbeat and then the background noises start getting harder to ignore.
"Open your eyes, Nicholas." AHH! *THUD* *record scratch* *static*
Especially disturbing as the "Open your eyes" comes up earlier in the song: " * BANG* * SCREAM* "Open your eyes, Victoria" * BANG* ". The whole murder scene is incredibly creepy simply because it's related with sound rather than lyrics.
Made even worse when you remember that several songs earlier Nicholas mentioned having a wife and son.
"Panic Attack." The lyrics are disjointed and the music is chaotic to symbolize a panic attack, and hot damn. It makes you feel as if you're having one. If you're prone to panic attacks, you'll know that it's pretty accurate.
There's also "Voices", which really captures the horrors of schizophrenia. The Pink Floyd-ish chord progressions combined with the disturbing lyrics about the hallucinations that schizophrenics suffer make the song incredibly unsettling.
Similarly, all of Six Degrees of Inner Turbulence can be Nightmare Fuel to anyone who has one of the disorders the songs are based on. Dream Theater does a disturbingly good job conveying these sort of things in music.
"The Enemy Inside" is already a disturbing enough song about PTSD, but the video actually shows a frighteningly realistic depiction of what PTSD is like, with a father always being unable to execute simple everyday tasks without worrying about being shot. It's very terrifying.
"In the Presence of Enemies: Part 2" begins with the sound of wind followed by a very creepy bass and piano part. James LaBrie's singing in this section also helps with making you feel uneasy.
"The Dark Eternal Night". The lyrics are about a mummy coming back to life and summoning an undead army to take over the world. As if that wasn't bad enough, the music is extremely violent in its tempo changes and even has a very creepy honky-tonk piano section that always is enough to creep one out.
The NOMACS tracks on The Astonishing come off as this, showcasing the unnerving nature of A.I. is a Crapshoot, especially the track "Power Down".
"In the Name of God", a song about the religious cult known as The Davidians, and their siege in Waco, Texas in 1993. Especially the way James describes how innocent members of the cult dropped like flies during the standoff.