This is based on opinion. Please don't list it on a work's trope example list.
Nightmare Fuel / Kingdom Hearts I
In the topmost room of Hollow Bastion, the Princesses of Hearts' lifeless bodies are put out on display in crystal containers in the wall like trophies. The game never fully addresses how or why they're in there, but it's implied that some of them have been kept this way for years. With Birth by Sleep later confirming that at least Aurora has been in there for a decade.
The manga has another interpretation of this scene. A Soldier Heartless rips out the heart from a woman (who's implied to be a prostitute) while she's flirting with Sora. Then the Soldier crushes the heart within his claws.
On the night Destiny Islandis destroyed, Sora sneaks outside only to find a storm, invulnerable Heartless devouring the whole world and Riku being swallowed by darkness. Even after he obtains a Keyblade capable of destroying the Heartless and defeats the giant being of darkness that towers over his islands, he's blown away as the world gets destroyed.
Kairi's Dull Eyes of Unhappiness coupled with Creepy Monotone when she appears in this sequence makes it feel even more like some kind of nightmare. All she can say is "Sora..." before wind blows her away like a ghost, she fades through Sora, and disappears.
The final boss itself can be best described as some kind of organic ship, connected to a giant-sized version of Ansem by thick, fleshy cords that may or may not be its entrails. Despite Ansem controlling it, said ship also sports a Nightmare Face of its own.
Pinocchio's world is represented as Monstro. The inside of the whale is basically a Womb Level, and everytime it's accessed, the Gummi Ship doesn't land. It gets eaten whole.
Not to mention that when it happens, you first see the Space Whale "swimming" on its own, then it spots you and swims towards you, and finally opens its mouth. It gets worse when you see everything from behind the Gummi Ship, and therefore you get to see Monstro's mouth as it covers the entire screen. Combine that with the final Fade to Black and what you get... isn't a pretty image.
You can travel from Monstro's bowels to his mouth in one passage. Cheers for that image, Square Enix.
Dying can be rather startling. When the HP bar reaches zero, several things happen in rapid succession — Sora groans, the camera zooms in and circles around him, the screen fades to white, and the Game Over screen appears. In future games, it's slowed down, which makes it come as less of a shock.
In the Game Over screen itself, Sora is dead, floating limp in complete darkness, with his heart floating outside of him.
Xemnas' Early-Bird Cameo in Final Mix/1.5 Remix as a Bonus Boss is even more ominous than his proper Boss Battle in the second game. Watch it here. The way he speaks, without voice and causing his words to flicker and distort; the way he phases through things and flickers, as though literally out-of-sync with reality; and the way the game refers to him merely as "The Unknown"/"He Who Does Not Exist", plus his incredibly eerie boss theme all combine to make it probably the most haunting moment in the entire game.
Made even worse by the fight itself, where he has a penchant for lightning spells and possesses ludicrously agile attacks, jumping around like a deranged sith lord.
Xemnas's electric shock attack is nightmarish in its own way, but it becomes worse in Kingdom Hearts II when he uses it again in an attempt to take Sora's heart.
When the shark from The Little Mermaid appears out of nowhere in the haunted ship in Atlantica, it can be quite startling.
Sora commits suicide. He does it for the sake of his friends, and it was all that saved Hollow Bastion, but a young boy still picks up a sword and slams it through his chest, entirely on-screen. And unlike most other Keyblades, the one Sora uses actually ends in a point.
The battle against Chernabog is equal parts Nightmare Fuel and Crowning Music of Awesome. The guy is the Slavic equivalent to Satan — he's a giant black demon, whose face is bigger than Sora is tall, and he's known as one of the most terrifying beings in the Disney canon. His presence is basically the huge sign that says "You're in the heart of evil, and it's only going to get worse even from here."
And the best part? There's no warning he's even in the game. If you're playing it for the first time you don't even suspect him showing up this late in the story if at all. But no, he shows up as pretty much the penultimate boss of the game.
Slavic equivalent nothing; the interstitials of Fantasia outright state that he IS Satan.
End of the World is a terrifying locale. The music, reprised from the tutorial, makes it seem so serene but you know it's the place of nightmares, being the remnants of countless worlds being destroyed by the Heartless. In the Final Dimension, you see pieces of destroyed worlds raining down constantly. It's truly the heart of darkness.
According to the shout-out page, parts of the level seem to be inspired by Nowhere. Get that into your head for a second.
Even the Gummi ship routes leading up to End of the World are pretty scary. The music starts out optimistic, energetic and fun, though space gradually gets darker in coloration. Then you get on your way to Hollow Bastion. The music becomes pretty dark all of a sudden, and space becomes very dark. It looks like you're driving through a whirlpool to the deepest darkness. Hollow Bastion is on the very brink of said darkness. Then comes the final journey to End of the World. You're flying in an almost completely dark abyss to the source of all evil in the game, with only a wispy, bright (though definitely not encouraging) array of purple light.
In Neverland, while traversing through Hook's ship, Sora is attacked by multiple doppelganger Heartless known as Shadow Sora - jet-black, no weapons, flies through the air, dances until it deems you worthy of receiving of an attack. When you defeat it, the experience point display reads Tech150p. "Tech" points are normally rewarded when Sora parries an enemy strike. Then it hits you: Riku isn't just sending out clones of Sora; he's actively attacking him.
Not to mention the secret boss of Neverland, known as "The Phantom". It has a fitting ghost-like appearance, is difficult to beat, and has a special attack that instantly takes out your allies one by one, until going after you.
Oh, and while on the subject of Riku, the way he becomes when Ansem, Seeker of Darkness, takes over his body and turns him dark has to be plenty chilling. Especially the way Riku talks while possessed: he speaks with the voices of both himself and Ansem. Riku's own voice is dull and flat, and all the inflection comes from his "passenger".
If you finish the second Hollow Bastion visit before you finish the Monstro stage, you still tangle with "Riku", only this time, Sora makes it clear he knows it's not Riku who's kidnapping Pinocchio. Ansem instead entirely uses Riku's voice, and mockingly asks things like "Don't you wanna play with your best friend?" It's very unnerving.
The intro to the game itself is disturbing enough to keep you from playing through it AT ALL. From the unreal music to the all-consuming darkness surrounding your stained-glass prison of a tutorial space. The silence and lack of a voice or many other sound effects in the first stages doesn't help either. This all culminates with a massive shadow monster that you're expected to defeat, alone.