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Nightmare Fuel: Elantris
A city full of insane zombies, where any cut, bruise, or stubbed toe hurts forever, slowly driving you toward madness.
Also, anything to do with Dakhor magic. They grow their bones into the shapes of runes through an extremely painful process. That's Nightmare Fuel enough already; then you find out about the techniques that are Powered by a Forsaken Child...
Actually, all Dakhor techniques are powered that way. It's mentioned that granting their monks their powers costs multiple lives for each granted power. Dilaf's Anti-Magic cost fifty