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Nightmare Fuel: Kaiji
Brave Men Road. While the first part isn't too scary, the second part is nothing short of horrifying. One participant falls to his death, which causes a chain reaction of sorts... The others panic and one after one, they fall off, complete with the Grim Reaper appearing.
The entire "E-Card Reader" arc, where the protagonist plays a card gamble with an electric drill fastened to his ear. Essentially, at the start of each round he bets a certain amount of "millimeters" - if he wins the card game, he gains money in proportion to the amount of millimeters he wagered. If he loses a round... the drill will advance that many millimeters into his ear canal. Complete with cross section and close up views of the drill moving slowly towards his ear drum, and the occasional "what-if" preview of it getting splattered. The max length is 45 millimeters and while the damage to the eardrum is bad in time it can be repaired but death is certain at the max length. Gets even worse when Kaiji cuts off his ear to get rid of it because it was rigged.
At the end of the same arc, there's also the "Roasting Kneeling" (yaki-dogeza) scene, where Tonegawa is forced to kneel for forgiveness, face against the ground, on a red-hot iron plate, badly burning both his forehead and both his hands, all while Hyoudou is giggling in the background.