This is based on opinion. Please don't list it on a work's trope example list.
Nightmare Fuel / It's Always Sunny in Philadelphia
"Think this guy's got any beer in his fridge?"
Dennis and Dee's vacation to the Jersey Shore gets really dark really fast when they tag along with a gang of criminals led by a dangerous, trigger-happy dusthead who gets one of his partners shot in a botched robbery, murders a doctor right in front of them, and is in the middle of making them dig their own graves when they finally make a break for it. All of this is scored by The Go-Go's "Vacation".
In the same episode Frank and Mac ended up lost at sea with their liferaft on the verge of sinking. Sure, they were saved when the party boat filled with Jersey Shore-style guidos happened to pass by, but that whole scene was a definite Paranoia Fuel. The only member of the crew that came out with nothing really bad happening was Charlie, save for the fact that the Waitress being nice to Charlie was the result of her being high on ecstacy.
Charlie tells Mac that he shouldn't get all worked up about his parents stealing other people's gifts, posing it as a holiday tradition. Then he says to Mac that he handled the news about his mom whoring herself out to a bunch of "Santas" on Xmas day quite well and then procedes to bite the Mall Santa's neck, asking him if he fucked his mom. Despite being a funny scene, it's still kind of scary (and sad) to see a guy biting a mall Santa's neck so hard that he bleeds and repeatedly yelling "Did you fuck my mom?" and "Did you fuck her?" without any evidence to support that he ever did, especially since the acting is very believable. Poor, unfortunate mall Santa.
The flashback to the "Santa Clauses" shows one of Charlie's gifts was a model train, which started his addiction to sniffing glue.
What the gang subjects the "Juarez" family to in the Extreme Makeover episode.
Frank's Sanity Slippage over sanitizing everything in "The Gang Gets Quarantined".
Psycho Pete's poor, unfortunate teenage years. He was Charlie and Mac's friend and was sent to an institution because of a rumor that he killed and ate his parents. It turns out that he went away to be treated for depression and social anxiety. The fact that people legitimately thought that about a nice, soft spoken guy, and the fact that the Gang probably partially started the rumor, is horrible and could definitely happen.
Not shit-your-pants scary, but pretty unsettling. When Dennis and Dee have to decide whether or not to take their grandfather (who they know used to be a Nazi) off life support, they visit his apartment and find some old movie footage of them hanging out with Pop-Pop when they were kids. They look on fondly at the child versions of themselves smiling in the backseat of his old car, getting hot dogs, and all's well and good while they think this confirms that he came to America and left his Nazi past behind him... until they see themselves being brought to a Hitler Youth camp, Pop-Pop telling them they need to take the country back from "these n*ggers and Jews," and gleefully doing the Hitler salute. Did they really just not remember that or did they block it out? Either way, seeing the child version of yourself cheerily yelling "Sieg Heil!" would be disturbing to anyone.
In "Psycho Pete Returns" the scene of Frank wandering through the abandoned mental hospital, and the flashback scenes of young frank at the same mental hospital, are shot and acted in a genuinely disturbing and disorientating way.
"Charlie's Mom Has Cancer" ends on a pretty gruesome note. Dee has been led to believe that her mother, Barbara, is still alive, and has stashed a large amount of money in her grave. In the end, the gang digs up said grave, only to find her decomposed corpse. Everyone reacts with revulsion, and Dennis is especially traumatized. The worst part is that Frank set this whole thing up, as revenge for Dee saying that his mind is slipping.Rule of Funny redeems this somewhat, but it's at least as horrifying as it is funny.
An overlooked bit but still very nightmarish in a sense. Most sitcoms go on an episode by episode format, meaning after thirty minutes, the problem is solved and the day is saved for the most part, but the downside is that there is no continuity. Sunny is all in the same continuity, even if there is an adventure every episode, meaning any and all amoral choices the Gang makes has last longing effects on their characters and their world. Need an example? Look at poor Rickety Cricket◊.
To those suffering from depression or those who know someone that suffers from depression, Dee going through it in "The Gang Broke Dee" can be a little unsettling, especially with all the suicide references.
When Dee wanders into the hallway of Charlie's building in the middle of the night in "Dennis Reynolds: An Erotic Life". It's a creepy hellhole, and ends with a reference to The Shining. Turns out Dee got high on glue.
A little Fridge Horror, regarding the last few scenes of "Mac is a Serial Killer" revealing that the actual murderer is a skittish neighbor of Dee's, who has a very obvious crush on her. Consider that all of his victims were confirmed to be young, blonde women, and just think about the implications of where this probably could have led...
While that's all well and good, you seem to be neglecting that the episode is implied to have ended with the Gang killing him (with Frank revving up his chainsaw).
Just the shot of the refrigerator being opened, showing all of the severed heads, still manages to be shocking.
Given the killer's obvious crush on Dee, and her constant use and abuse of him, and that all the victims look like Dee, it's enitrely possible that Dee is what drove him to murder in the first place.
Frank's inclusion of "Round 4" sees the Gang needing to remove a key from their arms with tweezers' in a messed up Saw/"Operation" deal. Hell, Charlie winds up being the only one to go through with it... and almost bleeds out.
From the same episode, Mac kills the ridiculously cute dog that Dennis got for him and feeds its remains to Dennis in their evening meal as a cry for attention, which is somehow made even worse by the fact that he named the dog "Dennis Jr." and promised to raise it "like their own son". The fact that he manages to out-crazy Dennis is terrifying enough on its own, and his manic laughter after he reveals what Dennis has been eating is just downright unsettling.
During that same dinner scene, Dennis is so completely broken that he barely speaks, instead staring straight ahead with wide, deadened eyes as he mindlessly shovels the food into his mouth. That, coupled with Mac's histrionics, sets a deeply disturbing tone for the last minutes of the episode.
After The Reveal described above, Dennis gets ready to leave the house, and opens a closet; hundreds of boxes of Kraft Mac and Cheese pour out. Throughout the whole episode, Mac has been making "Mac's Famous Mac and Cheese" for Dennis, claiming it's his own recipe...but the discovery of the boxes proves otherwise. Dennis slowly begins to smile and demands that Mac tell him about the "special" dinner and Mac starts desperately begging for forgiveness, and it's only the doorbell ringing that prevents Dennis from attacking him. But that doesn't mean Dennis is calm—instead, he slowly walks over to the fireplace and picks up a poker, ready to brutally kill whoever is at the door (he suspects it to be Wally, who, as mentioned above, might not even exist). Dennis's previous breakdowns are largely played for laughs—and this one is too—but he does seem as though he's ready to actually commit murder right then and there. That's how absolutely over the edge he's gone.
And the horrifying music playing under the scene—deliberately referencing The Shining—doesn't help matters...
Dennis pulling a gun on the women in the Paddy's Wagon in "Charlie Catches a Leprechaun". Between his Suddenly SHOUTING! moments, forcing them to smile as he takes pictures of them, and the revelation he has a "weird website", this is definite Nightmare Fuel.
After Mac leaves Charlie alone with said "leprechaun", things take a turn for the Reservoir Dogs.
Charlie: (armed with a switchblade; over the strains of "Stuck in the Middle with You") Well, you may be a man. You may be a leprechaun. But only one thing's for sure: you're in the wrong basement. (approaches the leprechaun) I'm gonna see if you bleed green...
In "The Gang Goes To Hell", when Dennis is trying to proposition a young woman on the ship. Despite him thinking it's totally normal and (as per infamous Implication) insists that he will obviously back off if she says no, he comes off as extremely threatening, and the girl runs away screaming like a bat out of hell.
In "The Gang Goes To Hell", when Dee actually understands Dennis's rapey implications and admits to threatening guys who don't sleep with her by saying she will file a false rape report if they don't do anything with her.
Mac's zealous religiousness can become disturbing when you imagine what he went through as a child. Especially when he openly thinks being whipped in public is a thing that is done that helps him be a "better boy". Whatever happened to him as a child is kind of unnerving.
In part 2, the Gang going through the Despair Event Horizon when they believe the ship is sinking. What is especially startling is when Charlie suddenly claims they are already dead and the brig is some sort of purgatory and tries to prove it by casually shooting himself in the head with a flare gun, thankfully he quickly comes to.
The episode "Ass Kickers United: Mac and Charlie Join a Cult" devolves into a competition between Dee, Dennis, and Frank to see who can manipulate Mac, Charlie, and two other guys the most under the guise of commands from a mysterious "master" they are all following. Dennis' endgame is to command that they all douse themselves in lighter fluid and set themselves on fire, sacrificing themselves for the master. One of the other guys actually does it. The episode ends with him dying in the flames as the others walk off to continue their argument, totally indifferent to the death they just witnessed. Definitely one of the darker moments on the show.
"Being Frank" shows us, well, an entire day from Frank's point of view, and it's unsettling for reasons you wouldn't expect. From the beginning, it becomes clear that some combination of Frank's age and hedonistic lifestyle have taken a toll on his mental faculties, to the point where he rarely remembers where he is, or what he's been doing. At one point, he struggles to remember his own son's name. All of this is combined with the mid-episode revelation that he evidently may have an unaddressed terminal illness that isn't specified. As horrendous as his behavior can be, the feeling that one of the core members of the gang might not be much longer for this world is definitely jarring.
What, no love for the sequence that follows Dennis getting shot in the head (in his own fantasy no less) in "The Gang Saves The Day"?
Dennis' fantasy ends with him "mercy killing" (smothering with a pillow) Jackie Denardo after an accident ravages her body, but specifically, destroys her breasts. Made worse by the fact he appears to be getting off on it.
If you examine the group in the POV of an outsider who interacts with them then the group as a whole can be considered Nightmare Fuel Incarnate.