Again from the anime, Ryunosuke Uryu and Caster's introduction is full of nightmare-inducing images. It doesn't help that both of them are immoral and insane.
Sola torturing Kayneth might not be as extreme as all the other examples mentioned here, but boy is it both creepy and nightmarish.
Probably because there are no Eldritch Abominations, serial killers, or other supernatural aspects, just a paralyzed man who's lost his reason for existence (his magic) being emotionally manipulated—and then, when it doesn't work, physically mutilated with the threat of being reduced to a limbless husk—by the one person he cares for.
Oh, and Caster's lab. Oh gods, Caster's lab. Think Kirei's basement from Fate/stay night, just with a lot more blood and a lot less purpose. It consists of the still alive bodies of men, women, and children carved up and turned into instruments, artwork, and furniture.
Episode 10 has a very Slasher Movie feel. Ryunosuke being the villain and Rin being the focus character does not help one bit, even though you know Rin survives. Well, it's horrifying up until Ryunosuke gets beaten down (no real magic talent) by a small, extremely magically-talented, girl. Then it's a Crowning Moment Of Awesome for Rin. And then Rin nearly gets jumped by one of Caster's tentacle abominations, and Kariya gets to pull an awesomeBig Damn Heroes moment.
Just Berserker possessing a JASDF F-15J with the pilot still inside. Also includes said destruction at the hands of Lancer.
Caster's monster eating one of the planes with the pilot still in it.
Episode 16: There's something extremely unsettling about watching Lancer's complete meltdown as he dies with his honor completely crushed, raving madly at everyone present.
Those orange eyes pouring blood... There's nothing worse (or sadder) than seeing Lancer cursing the world with that expression...
It's also very unsettling that Lancer's voice suddenly turned so fittingly dark and terrifying. Hikaru Midorikawa may have played some terrifying villains, but none of their voices in their worst came close with how he did Lancer's last moments in how terrifying it is.
And let's not forget about Kayneth begging for a Mercy Kill soon later
This actually feels like a Shout-Out to that scene in Episode 23 of Neon Genesis Evangelion, only done better. Much "better", for very scary values of "better", since they actually made Irisviel completely out of the Uncanny Valley.
Actually if you look closely at a shot after that you'll notice all of the clones are smiling!
Irisviel's Angra Mainyu's scream of terror as Kiritsugu rejects the Grail by shooting the apparition of his own daughter in the head. Adult Fear indeed.
Both of Kiritsugu's background episodes are filled with this. The Dead Apostles, the bees...