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
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.
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, Mac and Charlie's old friend and gang leader, killed and ate his own parents.
He gets set free due to his institute shutting down in "Psycho Pete Returns" and it turns out that the parent-eating thing was a rumour, and in reality Pete had been institutionalized for depression and social anxiety. The fact that it may have been partially fueled by the gang spreading rumours about him is Nightmare Fuel in itself, though.
"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.
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.
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.
"You may be man, or you may be leprechaun, but one things for certain: You are definitely in the wrong basement."
In "The Gang Goes To Hell", when Dennis is trying to proposition a young girl on the ship. Despite him not seeing it as such, he comes off as EXTREMELY rapey, driving the girl to run away screaming.
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 homophobics and zealous religiousness can become very nightmare fuel 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 closer to God. Whatever happened to him as a child is kind of unnerving.
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"?