Read some of the entries in Intruders: Encounters With The Abyss at night, all alone, and try not to feel terrified. It's no small reason why it's considered the number one sourcebook by the Mage community.
Grigori are the disembodied souls of Sleepwalkers, the ultimate agents of the Panopticon. Disembodied souls of Sleepwalkers that, it should be mentioned, are still alive...and completely unable to return to their bodies at all, or control their astral selves. All they are now are prisoners of an Artifact of Doom, their living selves kept in convenient storage so the Seers are never far away from the stream of observations they are forced by it to utter, without even the solace that starvation will eventually claim them-the Artifact supplies their body's needs, no matter how much they don't want to.
The fate of the Hollow Ones is even worse - they were Sleepers (not Sleepwalkers, Sleepers, utterly ordinary people) who were abducted by the Paternoster and thrown to the Custodian, a being from the Lower Depths who eats individuality. The...thing that is left over looks like a person, but is completely unable to retain memories or personality of its own without magic, and without regular infusions will rapidly degrade to a vapid husk once again. At least the Grigori can die knowing they're finally free. For the Hollow Ones, the self is...gone.
For more Abyssal goodness, the Hildebrand Recording from Grimoire of Grimoires. Some poor sucker ends up holding a recorded seance, and we get to read about what happens when an Abyssal intruder picks up instead. And yes, there are snippets. The recording itself allows mages to perceive things through the filter of the Abyss (as in, twisted and wrong), but it's also an object of fascination for mortal occultists, who will do anything - anything - to get their hands on it...
And one of those occultists? A Russian mob boss who used to play it for laughs, and once cut off the limbs of people who offended him.
Also, the Hildebrandt Recording is explicitly stated to be an impossibility. Hildebrandt himself was an ordinary man who should never have been able to summon the being at all. He used ordinary equipment, which should have been unable to record its sounds if he did. And for the recording of the seance to become a genuine grimoire should have been flatly impossible. It is, quite literally, a thing that should not be.
The Tremere Liches, as a base concept-immortal soul-eaters-are pretty horrific in and of themselves. Then you learn their backstory, and realize the initial ones were made accidentally, and you start imagining how utterly horrific it is to be one...
As of Left-Hand Path, the Tremere have become a whole new kind of Nightmare Fuel-they knew exactly what they were getting into when they tricked the vampires into destroying their souls, and they don't care, because they've become living maws of the Final Watchtower, meant to devour enough souls and internalize enough Reaper Legacies so it may manifest and remake the world in their image. And if your soul is one of them, well, tough noogies.
What are the Lower Depths? What place in the cosmic order does it hold? And why are even Abyssal intruders afraid of things that come from it?
How about the Inferno, for one? And it's only a single world within them?
It's strongly suggested that the Lower Depths are reflected realities that all lack one Arcana or another. Just imagine a world without Space... or Mind... or Life... or Death...
Night Horrors: The Unbidden is supposed to be a catalogue of this. And it works quite well, with something for everyone. Mad mages, enchantments gone wrong, gruesome creatures of living magic, malevolent ghosts, corrupt spells, and more.
One example? Alecto, an ananke (a magical construct designed to fulfill a specific purpose) who believes her purpose is to usher people on to their destinies. However, something or someone maimed her in the distant past; she manifests with a broken wing and bleeding, empty eye sockets. And she doesn't realize she's broken; she can't actually remember her real purpose, she just infers it from her powers. She might see an arguing couple, one that would make up in due time, and believe that their destiny is to separate. Her grasp of Fate magic is near-perfect, but it's being filtered through the mind of a severely-damaged being that can't grasp how damaged it is. She drives people to despair and suicide, never realizing she's making mistakes, and in fact incapable of realizing her own flawed judgment. A Woobie, Destroyer of Worlds who highlights just how dangerous magic is if you're not sane enough to control it.
Everything in the Anima Mundi. Everything. EVERYTHING.
The Omphalos, which is essentially a combination of an astral roadblock and warning sign indicating that metaphysical shit is about to get real. Breathing in the mists surrounding it causes you to become conversationally fluent in the High Speech - which shouldn't be possible, because the language is metaphysically broken.
The Spire Perilous, which was the original connection between human subjectivity and the soul of the world. The collapse of the Celestial Ladder severely damaged it, and one of the Aeons is attempting to finish it off.
The Citadels of the Aeons. Some of them live in castles built to resemble a giant in the fetal position, dying of starvation. One is a braindead king with two dragons growing from his shoulders with a personality best described as "Satan". And then there's the Other, Ambassador to the Abyss. There is something very wrong with the Other.
And worse? The wrongness happens in spite of him. As shown in Left-Hand Path, the Other won't harm anyone, nor will he allow others to come to harm. He won't tempt people into following the Abyss, and he mocks the Scelesti who try to worship him in person. And he apparently genuinely regrets the nightmares he causes in others. There is something even more disturbing about that.