Evanescence's trademark unnerving, mournful, paranoid and suffocating sound. Just listen to songs like "Bleed," "Lies," "Missing," or "The Only One." One can argue that Evanescence is as far as creepiness can get into the mainstream.
"Origin" (thirty four seconds of creepiness,) "Whisper," "Sweet Sacrifice," and... Uhh... Most everything else.
The music video for "Going Under". The "Bring Me To Life" video can also qualify.
The lyrics to "Snow White Queen" are unbelievably disturbing, especially to someone who has had encounters with stalkers before.
YMMV, but this Troper has always found "My Immortal" creepy. Looking at the lyrics, it's about how a deceased lover haunts the house the two of them once shared and prevents the surviving lover from moving on with their life.
"Lithium," with all that coldness and the ice and being under the ice swimming...
"Tourniquet," a song about a woman who slits her wrists in the bathtub, and when she's about to die starts to regret it. The song is her slowly exsanguinating as she begs the titular tourniquet to save her.
"Even in Death," a song that seems to be about digging up your dead lover and taking his body home with you. Chilling.
"Haunted" has a story attached about a little girl who goes into an abandoned house and is captured to kill the evil thing that lives inside. Said evil mindrapes her every night, and it's implied she has no reason to live anymore but to kill the evil. Who is also her only friend. Pretty disturbing.
If anyone is interested, the story can be found here (it's down a bit in the comments section, but worth a read if you're interested.)
"Snow White Queen," with slightly distorted vocals singing about someone being raped. Coming from both the rapist and the victim's points of view...
Amy Lee's said the song is actually about being stalked. "I went through some weird experiences with stalkers. It's weird how it works. My lyrics are so intimate that people feel like they really know me, and I don't know them at all. My privacy had been completely invaded and there were a couple of nights where I couldn't stay at my house. So I wrote a song about it through the eyes of the stalker, and with my perspective, too."
"Going Under" features nightmare faces done by the ladies doing Amy Lee's makeup and hair and the audience. As well as the Nightmare Face at the end.
"I Must Be Dreaming" (which is a different song from "Bleed") becomes horrifying with a little attention to the lyrics. The first verse seems to describe the narrator hiding in terror while her father beats her mother, and then disassociating when he turns on her, proceeding into a chorus where she desperately tells herself what's happening to her isn't real. The second verse brings a Hope Spot as she considers getting help and telling someone... but then the chorus takes over again and is all that's left for the rest of the song. Combined with the stifled, claustrophobic sound, it chills the bones.