Grima and the Bad Future in general. In a flashback, even Lucina, who is a Badass and mostly fearless young lady, lets out a blood-chilling scream at the sight of the monster. All the reports you hear about the Bad Future are no better. By the endgame, your evil counterpart from the Bad Future that Lucina escaped from makes their Grima incarnation appear, giving Lucina a second opportunity to be terrified of the Beast. Even her father Chrom is unnerved and visibly distraught by Grima's appearance in their world!
Robin even points out how creepy this is in their C-Support. And then there's Tharja's confession scene to a male Robin, where she threatens to kill him should he ever back out of the relationship.
Take Henry with you during the Death's Embrace DLC map. It's Nightmare Fuel on its own for differentreasons, but you know that horrible floor that shoots sharp spikes to impale your party and always reduce your HP to One? Every turn? Yeah. Henry mentions that the room is just like one that he was sent to during school as "punishment." Is it any wonder he's so unhinged?
Henry: The spikes here remind me of the ones back in wizard school. Whenever I did something naughty, they'd put me in a room like this. ...I almost died! It was neat. Still, nonstop pain is no fun for anyone, so I'll try to make this quick!
The Death's Embrace DLC map is pretty horrific overall, but the worst of it would have to be the special Risen Chief that the boss summons. It appears to be a regular Soldier on the map, so one would probably think that it would appear the same in battle, just with the demonic Risen face. But no, what one will see is an... abomination. Instead of a regular Soldier, you face an armoured knight Risen with no eyes, and with faces all over its body, complete with the glowingRisen eyes. It even has some skulls attached to it. One of the most terrifying things in the game aside from Grima itself.
The special "entombed" risen. The other risen are just a Palette Swap of Generic classes. The entombed, on the other hand, are unique little freaks that wear bag...things on their heads, sink in the ground and attack you with their bare hands. Oh, and their head twitches all over the god damn place. The fact that they're basically weak metal slimes does little to comfort.
The Cockroach in Lucina's C support with her sibling. Thank the gods we never see it, because by the looks of things, it would be utterly terrifying. It's enough to freak out Inigo, a consummate ladies' man, to the point where he says he'd "sooner die loveless and alone" than touch it, reduces the badass, tomboyish, borderline Blood Knight Kjelle to a panicking wreck, and in every version of the support, it instills great terror within Lucina, a woman who has stared into the gaping maw of Grima itself as it came bearing down upon her. And let's not forget that everyone who can possibly be involved in this conversation is a veritable Bad Ass who regularly fights zombies. Thankfully, again, we never see the thing, only other peoples' terrified reactions, which, much like watching a playthrough of Amnesia: The Dark Descent, makes for comedy gold.