This is based on opinion. Please don't list it on a work's trope example list.
Nightmare Fuel / Fight Club
Jack getting a chemical burn on the back of his hand.
The scene where Jack beats himself up in his boss's office, throwing himself through a glass table. In a startling aversion of Soft Glass, he has huge bloody chunks of it stuck in his arms.
Those gorgeous shots of Robert Paulsen's brain hanging out of the back of his head.
The other members of Project Mayhem chanting his name in an almost religious paean, which spreads to other members around the world. It really hammers home just how much of a powerful, dangerous cult Tyler has created.
And what The Cops were going to do to him. "You said that if anyone ever interferes with Project Mayhem, even you, we gotta get his balls".
In the Book, it's worse. Jack gets on a bus, sitting at the back for lack of space. He then realized that everyone on that bus has a shaved head, and they all ambush him to castrate him. When the bus get's pulled over by a police car, one of the officers comes on and says "Pleased to finally meet you Mr. Durden. Sorry we have to do this." He narrowly escapes out the window, but the scene is extremely tense.
This is alluded in the film too. When the Narrator puts Marla on the bus, you can see several silhouettes moving towards her. Given that she later shows up captured by Project Mayhem, the implication is clear.
Jack and Tyler stealing human fat from a medical waste dump and having the bag burst as they try to carry it over the fence, with Tyler catching the leaking fat with his bare hands. In the book, much of the fat used for soaps actually came from Marla's mother.
While the idea of being taken over by a persona you accidentally created that wants to destroy civilization as we know it is a manifestation of one or several Primal Fears, the brief flashback of the Narrator on top of the building, and the pure freaking madness that Edward Norton managed to portray was far more chilling and potentially nightmare-inducing than anything Brad Pitt's character came up with, even after the Villainous Breakdown.
The graphic details on the burned-out car.
"Angel Face" getting beaten until he looks like an unrecognizable mass of flesh and bone. Made even worse when you realize Jack is Tyler Durden, and all this time he has been beating up his supposedly best friend.
In the beginning of the movie is a very subtle Call Forward to the "changeover" discussion, as very brief snapshots of Brad Pitt are spliced into the early scenes for a frame or two, before vanishing. If it's the first time you're watching the movie, you might not even notice they're there. A second watch, armed with the knowledge that these snapshots are Foreshadowing that there is something seriously wrong brewing in the Narrator's mind, becomes completely and abjectly terrifying.
Tyler's motivational speech to Raymond to convince him to return to schooling... which he does by holding a gun to his head and threatening to track him down and murder him if he doesn't. While the gun is later revealed to have been unloaded, given all the other extreme things Tyler pulls, we have no idea if this threat wasn't genuine.
The Fight between Narrator and Durden in the movie. While at this point we know now that Narrator is fighting himself. Some of the shots on security camera shown him throwing himself over things. One scene practically borderlines on the supernatural as it shows Tyler dragging Narrator across the underground parking lot. It cuts to the camera showing nothing dragging him like a ghost was doing it.
After the big Reveal, we see scenes of the Narrator interacting with Tyler, with Tyler taken out of the scenes. The shot where the Narrator hands the beer bottle to Tyler who isn't there and it loudly smashes on the ground with the Narrator not even flinching is VERY chilling.
In the book the last few sentences saying that the members of Project Mayhem are still out there and waiting for Tyler's return.
The fact that Durden's plan succeeds at least partially. Considering that the Fight Club does take down several buildings means that it could be at best a 9/11 style aftermath.... at best. At worst it means everyone goes back to the stone age against their will and it won't be pretty for most people.