This is based on opinion. Please don't list it on a work's trope example list.
Nightmare Fuel / Fire Emblem Awakening
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!
A notable one is in his B-support with him and Cherche, where he says the hunters that killed the wolf that's been taking care of him have "payed in blood." It should be noted that instead of his usual smile, he has his distressed face, implying that he has a darker expression on his face than usual
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.
And if that's not enough, in Fire Emblem Fates, it's all but stated that the Tharja Expy is in fact the preincarnation of her, and she will always stalk you across both of your lifetimes. Both in this one and the next.
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 1? 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!
Brady's quote in the same chapter is also horrifying, as he recounts how in the Bad Future he regularly had to deal with people turning into Risen while he was trying to heal them. And then there's Inigo's quote...
Inigo: I wish I could be shocked at this, but the dead rose all the time in my future. Friends, neighbors—they all became Risen... And then they had to be taken down. I've done this so many times now, I barely feel anything at all...
If you bring Cynthia into this map, she'll make a remark similar to Inigo's, where she comments that she couldn't think too hard about where any particular Risen might have come from. It's not quite as blatant as his is, but seeing the normally-cheerful Cynthia say things like that is still pretty distressing.
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 giant revenants in the Roster Rescue DLC can be pretty freaky, too. Again, they look like normal Risen on the map... and then you fight one and see that they're about 3 times the size of normal enemies, are a bit more detailed, and have chains and weapons sticking out of them. A lot of their creepiness comes from the fact that Roster Rescue is otherwise mostly funny, so the giant revenants are pretty jarring.
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 everyone who can possibly be involved in this conversation is a veritable badass 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.
The "Dire Future II" cutscene. Besides the fact we get to see Grima's massive size for the first time (As he completely dwarfs Ylisstol), the way he mercilessly taunts Lucina about how she's lost shows off just how sadistic this colossus is. The scariest part, however, is how it ends- Grima tells Lucina how it's her turn to die and LUNGES at her, mouth agape, and it ends by showing the poor girl screaming in terror.
Granted, it is somewhat alleviated by the fact that the third Drama CD lets us know that Lucina is rescued by Gerome, Cynthia and Noire at the last second, confirming that it isn't a nightmare or even another timeline where Lucina is killed off by Grima.
One of the map themes, Chaos, and its Ablaze equivalent. Both of which tend to play in chapters involving the Grimleal. The regular version is quite subtle, but the instruments give a feeling of building dread and paranoia- Whilst the Ablaze version is incredibly loud and gives the feeling of everything turning, well, chaotic. Both of which, however, give the feeling of hopelessness and death.