This is based on opinion. Please don't list it on a work's trope example list.
Nightmare Fuel / Gaunt's Ghosts
The concept of windwaste in Guns of Tanith: the planet that the Imperial Guard are fighting on is covered in acidic pollution clouds from the planet's industry. Warplane pilots opted to just cut their chute/balloon when they are shot down instead of suffering slow, burning death as they float into the cloud...
In Only In Death... Soric. When Hark finds him, his eyes have been sewn shut, he's laying in a pile of his own waste, and, oh yes, he's visibly rotting. While still alive. Hark frees him from this existence.
In Ghostmaker, Larkin stumbles across an apartment building ransacked by Chaos forces. He discovers a wall with children's dolls nailed on it, only to find upon closer inspection that not all of them are dolls.
Chaos' corruptive powers are downplayed for the most part in the series, but that does not make the sheer otherworldly power and horror of Chaos any less. Those humans who have fallen to the Ruinous Powers, and the worlds that they live on, are utterly horrifying.
Straight Silver has a chilling description of the hells of trench warfare. This includes such delights as corpses buried in the sides of the trenches sliding out, half-rotten, any time the nearby rivers flood, a hellish melee within a trench resulting in every inch of the the place being literally carpeted in the dead, and a literal wave of screeching, clawing, biting vermin boiling out of a trench's underlying tunnels and crashing into a party of Ghosts. One unfortunate Ghost is bowled over and buried beneath the living wave...understandably, he's traumatized and wailing when his friends manage to pull him up. Some got in his mouth.
In Traitor General and The Armour of Contempt we get an extended look at the Chaos-ruled world of Gereon, where all the crops are blighted (or worse, mutated), the sky is a leprous yellow-brown, and everything is slowly dying. The only "unspoiled" place are the Marshes of Untill, and only because the lifeforms there are so poisonous (a moth can kill you just by landing on you) that even the forces of Chaos have trouble invading it. And we haven't mentioned how the Chaos overlords are actually running the planet yet, or the fate of most of the world's population. Glyfs (energy-beings of the Warp that can cause insanity just by looking at them) stalk the streets by night, wire-wolves (nigh-indestructible things of metal and living lightning) hang from poles waiting for an alarm call, and the enslaved populace can only move about after having a biological 'microchip' in the form of a Chaos maggot implanted in their flesh called an imago. A daemon-possessed tank that stalks the Ghosts like a lion rounds out the list.
There was a rumor floating around the regiment in Only in Death that a recon team had discovered a ravine somewhere on Jago (the planet they were on at the time) that was filled with ancient skulls, all with the tops sawn off. Age of skulls and reason for mass trepanation, unknown. This unsettled even the Ghosts, who were extremely hardened by this time.
Abnett's Crowning Moment of Horror (for now) has got to be Only In Death, if only for Hinzerhaus, the fortress the Ghosts are ordered to hold. First there's the subtle things: the hints that beings not-quite-human built it in centuries past, the way the lights inside pulse almost as though the building was respiring, how echoes are thrown around so you can hear footsteps coming towards you even if you're alone on a floor. Then, the soldiers start hallucinating: the best cases only have dead teammates talk to them, while the worst begin obsessing over the darkest fears, such as a lady in a black dress with a wound for a face, or a bony daemon-serpent lurking in the basement. This is, remember, taking place in an isolated citadel in the middle of nowhere, surrounded by a vicious duststorm that cuts visibility and scrambles comm traffic. And on that note, there are the repeated "echo" transmissions: "Are we the last ones left alive? Are we? Someone, anyone, please? Are we? Is there anybody out there? Are we the last ones left alive?"Exquisite. And this is without mentioning the fate of Soric.
The layout of the place is also pretty unsettling. It's bad when the Ghosts realize that none of their maps of the place match up, either with the actual structure or with each other. Then you get Blood Pact literally coming out of the walls, killing a couple of Ghosts, and then vanishing again when pursued.
Necropolis has this in the form of how Ferrozoica went about its siege against Vervunhive. Vervunhive is bigger but Ferrozoica's army is more militarized. How do they do that? By forcing every single corrupted man, woman, and child to fight, "enhancing" them with cybernetics hidden behind masks. Larkin pulls off a Zoican soldier's mask during a battle. He starts screaming and stabbed the crap out of the abomination with his knife. But the kicker isn't that the face underneath is monstrous or hideously mutated or anything - Larkin's horrified because underneath is a completely normal person who's been brainwashed into one of Heritor Asphodel's mindless slaves.
It's implied that Sondar's sensory-deprivation chamber contained something no-longer-entirely-human, by the time he was executed. Details are not given and that's probably just as well.
Pers Espere, one of the fighter pilots in the spin-off novel Double Eagle, receives severe injuries during aircombat. The paragraph describing is short, but the reader gets the wonderful details about the left side of his face pincushioned by shattered glass and his right hand melted down by lasfire and glued to the control stick.
Honour Guard has one battle scene about halfway through the book where an Imperial tank is hit by an enemy shell. It doesn't hit anything and doesn't cause the tank to explode (aside from blowing off the commander's arm and liquefying the loader). That's not the horrifying part. The horrifying part is that the shell hits the water-jacket around the tank's ammunition. The ammo doesn't explode, but the force of the impact knocks heat conductors loose. They still have current flowing through them, as the water from the punctured jacket starts flooding the tank. We're treated to a lovely description of the commander and a crew member being simultaneously drowned, boiled, and electrocuted all at once.
Of all people that could be affected by power of Chaos in The Warmaster, Mkoll ends up going apeshit because of it. Just goes to show that nobody is safe in Warhammer 40,000.