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Nightmare Fuel: Iron Man
Tony's capture, imprisonment, and hazy surgery. Being held hostage in a part of the world where a lot of people will hate your guts, no one knows where you are, and these people are more than ready to execute you slowly. The scene of the terrorists filming their demands is quite chilling.
Made worse in that when he's being dunked under water, the car-battery that's keeping him alive is shown sparking and nearly shorting out, meaning that Tony's not only being nearly drowned, but suffering mild electrocution and cardiac arrest at the same time!
The Ten Rings' invasion of Gulmira.
Stane's paralyzing Tony and pulling out his arc reactor, all the while never dropping his Affably Evil personality and casually telling him that he's going to murder Pepper before leaving Tony to die a slow and painful death of shrapnel in the heart.
Iron Man 2:
When Rhodey's War Machine armor is hacked. He's suddenly unable to control his own movement and is forced to watch as the armor attempts to kill his friend. At least Rhodey was well-positioned to warn Tony and able to communicate.
Imagine not only what Vanko could make Rhodes do, but what he could do to Rhodes simply by making the suit move in ways the human body isn't supposed to move.