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Nightmare Fuel: Magi - Labyrinth of Magic
Dungeons. To ordinary people in the Magi universe, dungeons are Eldritch Locationsof doom that hold nothing but death. Even after Sinbad showed that success was possible, thousands (and counting!) of people have met their maker just by stepping foot inside.
At least most people get a choice of whether or not they want to attempt a dungeon. Zagan's dungeon, however, forcibly pulls in anyone who wanders near. And then turns them into trees, as mentioned below, which become sustenancefor the dungeon monsters.
For that matter, the Djinns' history itself is Nightmare Fuel. A flashback showed that Paimon, Amon, and Zagan were all once human together. What happened to make them the elemental Olympus Mons we see today...?
Jamil's gleeful expression as he tortures his slaves is certainly horrifying and comes across as a series of Moral Event Horizons for him.
The presence of slavery itself. In Magi, slavery is rampant. Though there do not seem to be major racial undertones in slavery other than the attempt at enslaving the Kouga girls and the attitude toward Fanalis, one can be forced into servitude for as little as outstanding debt, as in the case of Alibaba. Not only that, the only protagonist who really shows an aversion and hatred of slavery is Morgiana. Not even Alibaba or Aladdin cared much about the issue until they were influenced by her.
To be fair, at first, Aladdin just didn't understand slavery. He was the one who tried to free Morgiana in the first place.
What makes this even more horrifying is that the real ancient world wasn't any better.
Fatima dropping the young and sick Nadja into the pit of ravenous dogs.
Zaynab's Red Mist, which had the power of influencing people's emotions to the point of hallucination and debilitating anger.
The creepy unfocused eyes that Kougyoku displays when she is being controlled by Sinbad's Djinn Zepar. In the next chapter, we see how we get a visual representation of what Zepar actually does to his victims.
Sinbad's casual indifference at using Kougyoku as a unwitting spy against her family. When Alibaba threatens to tell her about what Sinbad is doing, Sinbad asks him what such a reveal would do to such an innocent person, revealing that he is fully aware of how horrible a thing it is he is doing.