The concept of the Nosferatu spell: That cute littleMysterious Waif Girl just got her face smashed in by a massive battle axe, then casts this spell which drains the life energy of her enemy and instantly heals the wound she just suffered. Oh, it's a Light spell. It also has a creepy sound effect when cast.
Later games rename this spell to Nosferatu and make it a Dark spell, though the Tellius games revert it to Light. Still somewhat creepy though.
Fire Emblem: Path of Radiance and Radiant Dawn have Feral Ones, which are Laguz, a race capable of transforming into hawks, tigers, giant cats and other animals. They've been locked into their transformed state with the use of a potion that makes them lose all sense of reason and also drastically shortens their life span. It can also be given to Beorc (humans) for the same effect, sans transformation. Bertram/Renning, a Beorc, is seen starting to go through this transformation, and he becomes a Death Seeker.
Bertram: Kill...me... ...KILL...M-ME...
The basement room of Gritnea Tower filled with countless Laguz corpses. The dialogue and the music leading up to it are unsettling enough, but then you see the actual room. What really drives it all home, though, is the characters' reactions.
Grima in Fire Emblem Awakening. No, the Dragon itself isn't... no. The fact that it kills (from within, painfully) and then takes over you (Or rather, your avatar) is. ...Wait, never mind, the dragon is pretty freaky too.
The Risen from Fire Emblem Awakening make a helluva entrance in the game: appearing from a strange temporal portal, chasing the heroes down while the earth splits open, lava gushes out, and the surrounding forest catches fire. While fighting them in-game becomes fairly elementary, they're downright frightening in the FM Vs.
The monsters from Awakening. Not the ones that are just palette swaps of generic units, those...things, that sink into the ground. Their noticeably twitching head DOES NOT HELP!
The Death's Embrace DLC chapter has to be one of the darkest and most nightmarish chapters in Awakening: You come across a village that has been razed to the ground, with everyone dead, then you hear that the perpetrator spared the strongest of the village's fighters, and go to investigate a nearby temple... where you find out that the perpetrator has taken said villagers and raised them as Risen whom he uses as loyal assassins, he has been going at it for a long time, and he has just finished his greatest work, which is a Risen Soldier with a freaky model not seen anywhere else. And on top of that, his temple has spikes protuding from floor, walls, and ceiling, with the intent on softening you up as said perpetrator's minions go for the kill... so he can have you join their ranks. Worst of all, these Risen, unlike the maingame ones, retain some of their humanity, so you will get gems such as "Who am I?", "Which way is home?", and "Thank you..." when you kill them.
Blazing Sword aka Fire Emblem 7, in the last chapter you have to fight many previous bosses that you already killed and none of them have the ability to talk. When you kill them, they still say nothing but they smile as if in gratitude.
In The Sacred Stones, there's Orson's conversation with his wife at the beginning of chapter 16. The joyful, carefree way in which he talks to her, in contrast to the empty look in his eyes and of course the fact that his wife is nothing more than a corpse that can do nothing else than repeat the word "darling" over and over again. It's uncanny in the most creepy way.
The (admittedly badass) animation for Nergal's attack, Ereshkigal - it's a hellish vortex of dark magic, and the noise it makes... It doesn't help that you can see tortured souls actually converging inside it.