During Harry's invasion of the Big Bad's fortress from the Nevernever side, he unleashes the ghosts of killers on the enemy forces. Harry Dresden describes the scene as fresh scenes for his nightmares. He only describes the least disturbing sequence from the resulting slaughter, and leaves the rest up to the reader's imagination. It's bad enough.
And when you consider everything that Harry's described in previous books, it's cringe-worthy to imagine what he didn't want to tell us.
He Who friggin' Walks Behind. During a flashback, we finally learn the details of Harry's first encounter with it. Turns out it's a huge, incredibly strong and even more sadistic monstrosity that is always behind you, no matter where you turn, so the only way you can see it is in a mirror or other reflective surface. 16-year-old Harry first sees it reflected in an arcade machine in a gas station; he turns around to look and sees nothing, but when he turns back, it's now standing two feet closer. And smiling. Shortly afterward, it tore a person in three pieces with no effort at all. And no, you can't just stand with your back to the wall; Harry tried that, and it still came up behind him, lifted him by the neck with a tentacle, and threw him across the room. Think equal parts Shagnasty and Slender Man, and you'll have a bit of an idea.
Not to mention what Harry feels when looking at He Who Walks Behind. That descriptive monologue would have done HP Lovecraft proud.
Also, now we know exactly why Harry had such a Brown Note reaction in Blood Rites when he found out that He Who Walks Behind was the one behind the entropy curse.
The worst part of it wasn't seeing her in action so much as the way she described it. That it was easy to set up small illusions that would end with people killing each other. The same way it was easy to help Rosie and Nelson way back during the Proven Guilty casefile.
And Will describing the results of the intervention.
Will: I've got a picture in my head of being dragged off into the Nevernever by monsters that I still can't get rid of. When she gave it to me, all I could do was curl up into a ball and scream.
That one's even worse if you consider that she probably didn't make the picture up. It's exactly what happened to Molly herself in Proven Guilty, so it's most likely her own memory of the fetches that she "gave" Will, not an invented image.
Harry's eventual fate if he failed to find his killer: to watch from the shadows as the people he cared about lived and died, and be powerless to do anything. That he's running around in his immortal soul during this only makes it worse.
This one in only nightmarish in hindsight, after reading Cold Days, but when Uriel tells Harry, "Lies. Mab cannot change who you are" he implies that Mab can lie. It may just be sloppy writing, but if it is a Chekov's gun, then in light of Cold Days it should be utterly terrifying.
All the Sidhe can lie in that manner. They can't deliberately speak a falsehood, but they're still masters of deception and misleading truths. A lie of omission isn't a problem — that's why asking questions of a Sidhe is so dangerous. Everything Mab says is true. (Harry even confirms as much — that she can make him do things, mess with his head, or alter his memories — and he can't prevent her, he can only be a huge pain after he figures it out.) But she never says it'll be easy, or predictable work to shape him, or that she can change him outright.
I think Uriel explains it in a later book. Mab says what she believes is true. With her experience, she truly believes that one day, she can bend Harry to her will, so in her mind she is telling the truth. Uriel says "Lies" not because Mab is literally lying, but because she's wrong; therefore what she's saying is false.