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Apart from facing "fairly normal" horrific monsters time to time, there is the Nura alien, Nightmare incarnate. Also, don't forget the upcoming apocalypse... in a week. The apocalypse does not disappoint in this department (see below).
The most horrifying element, however, is the reason why the giant aliens invaded Earth. It's because they want to slaughter mankind like cattle to become snacks, similar to that of chicken wings or potato chips. It's only natural for Oku to add the HIDEOUS Squick of what happens just beforehand (which involves giant insects and naked humans and we'll leave it AT THAT) to achieve maximum Nightmare Fuel.
The giant aliens have a tool that can "upload" a human's visual data from someone's mind and use it to track the person in question. Already Paranoia Fuel on its own, it's described in a deadpan tone by the aliens as not government or police equipment, but a children's toy. Let that sink in for a moment.