The first Game Over you can get: simply put, you're reduced to a head and torso by Illya's Servant, cursed by Illya so that you can't die or lose consciousness unless your head is destroyed, and then taken captive to be tortured by her for eternity. And all because you choose not to be Saber's Master. Well, so much for free will. It happens because you don't have Saber to defend you, but as Ilya cheerfully explains, she really just felt like doing it. The fact that Shiro is being reduced to a disembodied head doomed to eternal suffering for what is, essentially, Ilya's vague whim just makes it a million times worse...
Day 15 Church Basement. Shirou finds the orphaned children from the fire ten years ago still alive, but had undergone severe Body Horror for the sake of providing Gilgamesh with mana.
which leads to Fridge Horror when considering Shirou was also one of the orphaned children from the fire and should have been taken with the rest to be handled by the church except that Kiritsugu offered to adopt him. Had Kiritsugu not made that offer or had Shirou turned him down, he could very well ended up as one of those poor souls in the basement.
Bad End 18, "Hypnos": A completely out of nowhere bad ending (caused by just asking too much about Caster) where Issei, under Caster's control, stabs Emiya and then slits his own throat.
Bad End 19, "Killer": The humorless, High School teacher, Kuzuki Souichirou happens to be an assassin trained since he was a child who specializes in killing with his bare hands. He's supposed to be retired, but he kills Shirou and Rin in a swift and brutal manner, without the slightest hint of remorse.
Bad End 20, "Hazy": Caster turns Shiro into a living wand for projection magic and Rin ends up mercy-killing him.
Most of the Nightmare Fuel in this series comes from the sheer amount of Body Horror inflicted on people. For example, we have Smug Snake Shinji Matou getting horribly transformed into a living mass of flesh that's barely conscious, eventually becoming a vessel for The Corruption...
The Makiri parasitic worms. Don't think about how, if you've had the comparative good fortune to be born male, they'll simply kill and eat you. And especially don't think about how, if you're unlucky enough to be female, they'll eat you alive (ovaries first) while essentially raping you at the same time. Even more, don't think about how Sakura has had to spend practically every night for the last eleven years stuck in a room full of them.... And this is JUST the backstory! These worms are PENISES withMore Teeth than the Osmond Family. Death by Sex, indeed:
Once swarmed by these lust worms, men will have their spine crushed, brain sucked, and will be made into a cripple. The worms will transform when attacking a woman, so that they are only able to violate her nerves. They will spread their tentacles all over her body and devour her spirit. The lust worms will wet the woman's skin with their mucus, excite and destroy her central nerves of pleasure, and satisfy their hunger. It must be their instincts, as the worms seem to love the woman's womb. They do not eat female flesh, but seek the organs within them. They give the woman huge enough orgasms to fry her brain, and they go into her body to devour her placenta. Unwilling to eat human flesh, the worms have only one way to get what they desire. As a result, the woman's mind and body are completely violated and destroyed.
Realta Nua's version of the worms are just as bad. While not looking like penises anymore, they now look like armored Alien chestbursters with a long thin horn on the tips of their heads.
The most disgusting scene with Zouken is where he sends worms after the drunk woman who has no idea what is going on while they devour her alive, and all the while there are these chewing noises.
One of the Bad Ends has Shirou run from Zouken in the Ryoudo Temple, when he suddenly falls over and discovers that running through the Lust Worms has made them quite literally eat his feet to the point where he can no longer walk. He is then horribly eaten by the worms.
One of the most terrifying bad endings, "Layered curse of the Womb Realm Mandala", comes if you choose to stay behind in the forest while Zouken and Assassin are fighting Berserker. The Shadow will eat you from behind and make it seem to Shirou that he has only been temporarily blinded by something as he is bumping into things.
The final bad ending, "Femme Fatale". Sakura inflicts on Rin all the pain that she went through for eleven years... and Sakura describes to Shirou how Rin is screaming "I'm sorry... I'm sorry..." all over and over again...