This is based on opinion. Please don't list it on a work's trope example list.
Nightmare Fuel / Elementary
Everything about the Balloon Man from "Child Predator", especially once you learn who he REALLY is.
M aka Sebastian Moran. He ties his victims up, hangs them by their feet, then slashes their throats and lets them bleed to death. Sherlock states that M's youngest victim was twelve. It actually gets worse after the reveal that Moran is a hitman. Moriarty is directing him to kill people whose deaths are somehow vital to one of Moriarty's criminal schemes, and simply making it look like the work of a serial killer in order to throw off suspicion.
Sherlock himself. During his little rant to Watson, he was somewhere in between Tranquil Fury and just plain crazy.
The plan from "Red Team". Sufficiently plausible that the government classified it immediately; sufficiently terrifying that a member of the team was prepared to kill everyone else who knew what it was; deduced by Sherlock in a few moments. Of course, Sherlock would never reveal it... but what one smart man can figure out, another smart man can also figure out. The sort of smart man who might, say, casually employ an entire stable of serial killers to further his own ends...
In "The Deductionist", the serial killer internet stalks blonde women over a certain height, and then skins them. Overlaps with Paranoia Fuel because people like that exist in Real Life.
"A Landmark Story":
Moran's killing of the guard simply for overhearing bits of his conversation with Holmes. And with such carefree glee afterward!
Holmes visits Moran for help with a message he needs to decode from Moriarty. Moran claims he cannot translate. Sherlock translates it later:
The Dissonant Serenity of Moran calmly singing the Arsenal FC anthem to himself in his cell before suddenly and violently bashing his face against the mirror.
"The Woman": Can you ever really be sure about which of your loved ones is genuine and which is a carefully constructed fašade who may not be the world's greatest criminal mind in your case, but still wants nothing more than your utter devastation?
"Corpse Du Ballet"'s victim is a ballerina who is found in two pieces (she's split in the middle across the torso). The reveal of the body is very eerie, with the stage it falls onto partly shrouded in fog, meaning it takes a moment to realise that there's not two bodies lying there.
In "The Great Experiment", Mycroft's crooked handler is trying to find out where he has gone, and threatens to gouge out one of Joan's eyes unless she tells him where Mycroft is. Fortunately she was prepared, but the way he switches from civil to coldly threatening to torture her with his bare hands is disturbing.
In "The Five Orange Pipz", it is revealed that the killer was a corrupt FBI agent who wanted to steal the confiscated evidence before it was destroyed because it was worth millions on the black market. The evidence? Beads that turn into GHB when swallowed. GHB is often used as a Date Rape drug...
In "The Illustrious Client" a beaten and barely dressed woman is flung into a room by a man largely believed to be the same man who had raped and tortured Kitty in London. Before he locks her in, he vows that her situation will worsen. Fortunately, the man's address is discovered and the police arrive to the woman's rescue. Then it is then revealed that the man, Simon de Merville, was working at an illegal brothel for sex slaves. The way the camera pans around to room after room where the women are held in is rather discomforting and chilling.
In the follow-up episode "The One That Got Away", Kitty takes gruesome revenge on her rapist Del Gruner by burning his face off with acid. Granted, this is taken from canon, Gruner is definitely an Asshole Victim, and Kitty doesn't kill Gruner because Sherlock talks her out of it. It's still pretty disturbing.
At the very end of "Hemlock", Joan's boyfriend Andrew dies right in front of her while she watches helplessly. The revelation that the poison was meant for her doesn't help.
The apparent lack of security in the prisons of New York can be an example. The fact that two mastermind criminals were able to plot a murder, one whose victim was also still in prison and do so with no connection between her and the deed, while in jail does not speak kindly to how secure criminals really are.
Morland Holmes' reaction to an attempted blackmail. To wit: His contact in Interpol threatens to expose his (unspecified but sinister) plans regarding Sherlock if he isn't paid a significant sum. Morland, utterly unruffled, informs him that he had a previous Interpol contact who also decided their relationship was insufficiently profitable; apparently he met a gruesome end and was discovered by his young children. Still smiling, Morland offers to forget the conversation, as long as his contact leaves and does the same; if not, though... "How are your daughters?"
Additionally, the fact that whatever these plans, he's concealing them so well that Sherlock, whose phenomenal powers of observation are only bolstered by many years' practice reading Morland, honestly seems to believe him to be genuinely attempting to belatedly forge a relationship.