Whatever you do, don't think about 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!
You know, the game itself says it best. 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.
Then there's the final bad ending you can get. 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...
Fate, 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.
Notable bad ends include any that involve Ilya, and the one where Caster turns Emiya into a living wand for projection magic and Rin ends up mercy-killing him. However, the most scary one was the 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.
There's also the one where Kuzuki punches Rin's head off and blows a hole in Shirou's stomach.
The ones where the player's view fizzles out like a broken TV with appropriate sound effects.
the firstGame 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 for me...
Zouken. Matou. Most specifically, the scene 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.
For more Fridge Horror, the 100% Completion (and at the same token the Tiger Dojo itself). Innocent enough until the end when you are told that the Hot Springs where Taiga and Ilya are at is in the Afterlife. WHAT IS TAIGA'S CAUSE OF DEATH?!
Except, Taiga is alive in Heaven's Feel True End. The " afterlife" part might just be Rule of Fun.
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 worst Body Horror? Shiro during Heaven's Feel. Shiro, or rather Archer's reality marble protects his body by creating blades in the place of bones and muscles. As a result of the issues that come with having Archer's arm grafted onto his body, Shiro's body is slowly invaded by Archer's reality marble until the blades start bursting out of his skin and making it difficult for him to even move. This◊ should give you an idea how bad it really is. "I am the bone of my sword" indeed.
True Assassin is creepy.
Kotomine's ending in Fate/unlimited codes. He summons Avenger and effectively ends the world. It shows a void... thing above him as he does this. It even plays All The World's Evil instead of one of the standard ending themes during the credits!