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Nightmare Fuel: Guilty Gear
Testament's 1st ending in GGXX where Dizzy DIES. He murders Johnny who did his best to protect Dizzy right in front of May. It's implied that he'll massacre the whole Jellyfish crew next and proceed to human genocide.
Zato's treatment of Millia. Their relationship is screwed for many reasons especially that they were in a sexual relationship in the past. Not only did they break up, but Zato turned into a Psycho Ex-BoyfriendHe-Man Woman Hater that swears to hunt Millia down to the grave. Millia's only solution to be at peace is to kill Zato. Even when he's dead, Zato's dead body controlled by a beast still haunts his ex-lover. Millia's solution? Kill it too. Considering that Millia was an orphan and was only coerced to kill people, it's horrible that she'll be guilty for what she has done for the rest of her life. Because of Zato, she fears forming relationships and has no known friends. One can be disturbed at the thought of Eddie finding a new host because Zato-1's body is already decomposing. Just imagine what Venom and Millia feel seeing the reanimated corpse of the man they loved.
To boot, all of this was caused by I-No's really, naughty prank of befriending a teenage Ky, driving him into saving her in a hopeless situation and watching him suffer a nasty death and laughing at it. And where is she in this timeline? Still walking around and trolling people, including an Ax-CrazyMad DoctorDr. Baldhead and killing him later on. It was a very good thing that That Man decided that this kind of timeline won't do and told I-No to stop screwing around and fix timeline...
Even the existence current timeline qualifies as Fridge Horror as you realize that every happiness and hope mankind regains is thanks to I-No's time trolling. What if she goes back and time and changes stuff again?
If the games are any indication, take solace in the fact that That Man will most likely rein I-No in, clean up after her, and punish I-No for mucking thing up in the first place.
The Crusades prior to the event of GG. Imagine a 100 year war against the worst Eldritch Abominations you can ever imagine with sizes ranging from cow size to Rhode Island-size. They don't have mercy, they don't get tired, they don't fear and they are specially designed by your fellow humans to kill you with fire, claws, teeth or poison. One of them could also be your loved one just converted into a Human-type Gear. Also before the Crusades, nations were already warring with each other.
Some of the stages are outright scary like Nirvana and Hell's Prison. Creepy crosses? Check. Freakishly huge monsters? Check. Atmosphere with bloody tint? Check. Skulls on rocks? Check.
I-No's ending in Accent Core where she gets frozen in time for screwing That Man's plans.
Though it may look comical on the surface, Zappa is practically spirited away into the world of the supernatural, and most likely will be stuck there forever with a creepy ghost woman who's madly obsessed with him. Luckily, there's no proof that this is canon.
In the Lightning the Argent novel, several villagers are violently killed with several parts of their bodies missing. Ky goes and investigates and meets a crippled girl named Marina. Due to circumstances, Marina accidentally drank the "miracle drug," Vitae, that Ky brought and it cured her disability. But when Solaria, a Commander Gear, sings, MARINA'S LEGS EXPLODE into anaconda-ish Gears that begin to eat her. Luckily, Ky is able to hack off the Gears (or her legs!) and carries the girl to Faust. However, others who drank the drug, which comprises the whole village, aren't so lucky as they are eaten alive by their body parts that mutated into Gears,just like what happened to the earlier villagers.
In Guilty Gear Judgment, a sorcerer named Raymond turned all the inhabitants in the island of Isene into underworld monsters. The monsters violently killed a considerable portion of a kingdom's population, enough for the UN to declare an international emergency. In the story, you will meet a hot chick fused with a monster plant that is screaming in pain, and she'll thank you when you kill her. Also, one stage boss is a rotating pillar with four different, demonic human faces attached to them, and their expressions are not pleasant.
Dizzy's second story ending in Accent Core Plus. We hear Dizzy crying for help until she slowly get's immobilized by Crow. She is captured and cloned and the ending picture shows naked Dizzy copies floating in capsules while Crow is watching. The scientist told another guy that he would keep for himself the "beautiful" original. Horror levels up when Crow creepily says that Dizzy is his forever while the poor girl is unable to respond.
And now Xrd gives us the literal Nightmare Fuel that is Bedman. Bedman is a kid strapped down to a rather demonic-looking mechanical bed. That alone is nightmarish enough, but it gets much worse. He's an evil little bastard who likes to trap people in nightmare worlds of his own creation, and he has a lot of Zappa-like static effects while fighting as well as during his win pose, and he can also summon a monster to stun the opponent, which can potentially lead into what it by far the scariest Instant Kill in Guilty Gear history. The scene switches to a movie theater, and the loser appears on the screen, forced to relive their worst memories and fears as a bunch of shadow demons suddenly appear and swarm the opponent as "BAD END" appears on the screen. Bedman's reaction is a Psychotic Smirk and Sarcastic Clapping.
Even worse are the characters' reactions. Here's Faust's to get the ball rolling.