This is based on opinion. Please don't list it on a work's trope example list.
Nightmare Fuel / Lollipop Chainsaw
If you failed to rescue all classmates, then the cutscene you get after the credits shows everyone coming home to find that Mom is now a zombie. "Time for dinner! And by dinner...I mean YOU." It then cuts to black as we hear everyone screaming, followed by a loud *CRUNCH*.
Mariska's possession of Rosalind. By the time "Rosalind" starts giggling in a horribly creepy fashion, you know something's definitely not right.
Mariska's boss fight is possibly the creepiest part of the game. It perfectly embodies a "bad trip", and just keeps getting more and more unnerving.
If you look closely at the loading screen for the Mushroom Samba portions of Mariska's level, you can make out her visage flashing in the center if the screen. Pretty unsettling if you go a while without noticing.
Killabilly, the zombie of zombies. He has one main trait that distinguishes him from the other zombies (aside from looking like Elvis). He is huge. His main goal is to wreck everything in sight. Just imagine what would've happened if Juliet had lost... His goofy appearance does little to offset the fuel.
Heck, Rosalind herself may qualify - she seems a bit Ax-Crazy and Laughing Mad, and this was before her possession! Her treating Nick like a toy and less like a person just puts a point on it.
Yumil, Vikke's living bear pelt. The picture of him on Vikke's profile card is especially creepy.
The helicopter crash in the beginning - listening to the pilot screaming "Tell my wife I love her!" (which then degenerates into wet sounding crunches)... Brr.
Juliet's no saint either. She seems to have severe difficulty grasping the severity of the situation. By the end of the game, she's slaughtered hundreds to thousands of zombies (many of whom were her classmates, friends and fellow cheerleaders) and she does it all with a smile on her face.
The Game Over screen is pretty unsettling. Usually in zombie games, the Game Over screen just says "GAME OVER" or "YOU ARE DEAD". This game, however, is different. Here, we see Juliet as a zombie, and her zombified arm reaches out from her grave for Nick's head, while Nick says that he wishes he could've protected her or something equally heartbreaking. Some deaths can cause a very depressing Game Over screen, such as one where Nick's head is standing in front of her grave with a rose (she doesn't rise from her grave in this one), or if you die in the Prologue chapter, the Game Over screen only shows her arm coming out (Nick isn't present) while Nick says in a sad tone, "Juliet... I will always love you..."