The plot of Mega Man X2 revolves around collecting Zero's scattered body parts. If that doesn't strike you as Nightmare Fuel at first, consider this: If Mega Man: Maverick Hunter X2 was made, what do you think X's reaction would be towards collecting Zero's severed head (Zero Part #1 in the game), especially if done in a cut-scene?
The "Warning" signal that made its debut in X4. You have the word written across the screen in red huge futuristic letters whenever you enter into a boss battle and that it flashes constantly from within sight with a scary alarm sound before disappearing. Most people who saw it were quite scared of it as they didn't expect for something like it to occur so suddenly and to add more horror to its nightmare potential, most of the boss battles from within X4 and beyond had took place from within obscure and solitude places that were quite dark and unnerving (given the PlayStation's darker and sharper graphics). To add even more horror to the "Warning" signal's nightmare potential, think back to the first Final Weapon stage of X4 and remember on how both X and Zero had surprisingly ran into both Double and Iris (who at the time were seen as cheerful characters from within a relatively dark game like X4) from within their separate in-game scenarios. When the "Warning" signal had instantly flashed from within the room of where the sudden confrontations had took place from, you immediately knew and realized that Double and Iris weren't there to help you out.
Sigma's second form in Mega Man X4. You have to destroy his huge, hideous head along side his humungous robot form, which also has his face on top of the robot's head.
Consider Sigma, his plans in X5, and several other elements of X5. The combination of the Sigma Virus's ghostly aura covering the Earth, the Eurasia Colony Drop with thousands and thousands of humans and Reploids (who didn't go Maverick) looking on in horror/helplessness, the Colony Drop partially/mostly succeeding almost killing the entire human race with Zero going Maverick if the colony was only half-destroyed — this is what Sigma wanted with the Colony Drop, the purple, ghostly portrait of Zero's helmet for the Zero Space stages on the Stage Select screen, and Sigma's ghostly purple face for his stage on the Stage Select screen (later reused in X6 as a dialogue portrait).
Zero's opening cutscene in Mega Man X4 starts with a nightmare. It begins with Zero waking up only to be ordered by Dr. Wily to destory his arch-nemesis and then Zero almost immediately suffers from an anguishing headache as he's being forced to carry out those orders. The scene cuts to a laboratory, followed by Sigma screaming for his life, then we're treated to still shots of some Reploids brutally murdered with their mangled body parts scattered and blood splattered throughout, Zero's blood-soaked hands, more dead bodies, then a close-up of one of his victims before finally waking up for real. Zero implies that he has this nightmare more than once.
A cartoonish video game soundtrack seems like an odd place for nightmare fuel, no? "Soul Asylum" from Mega Man X7 disagrees with you. The distorted effects in the track are almost hypnotic...
Morph Moth's stage in X2, which is a robot scrapyard. It features creepy dummy-looking robots hanging by wires by their necks, shooting them causes the body to fall off and the severed head to remain dangling and shoot you. It also features disheveled-looking robots built out of enemies from the previous game. The stage's mini-boss is fought in a room that has a floor composed more like a giant pit full of dismembered robot parts, which for a robot like Mega Man must be a bit like stepping into a pit full of bleeding, severed limbs.
You know you're screwed when Magna Centipede drains X's ability to charge his X-Buster, rapid fire, jumping, and dashing abilities thanks to his poison attack. The sheer helplessness of you in that situation can be pretty unnerving, especially if you've made it that far.
The final stretch of X4 after beating the Colonel. Everything's spiky and full of holes and that ominous vacuum like music. And Double and Iris in the stage.
Sigma in X4, as well. In his first form, he's dress like the Grim Reaper and he has a giant, lethal scythe that looks capable of crushing anything when in strong hands. After this form is defeated, you'll face him the second time, only to find him with two separate forms that alternate with one another. One form is his head attached to an alien cannon. The other form, which takes the cake, is his big head, but disfigured with metallic tubes and wires protruding from him, which makes it look like life support. The music in both battles can intensify these moments, especially the 2nd one. Here's a link if you want to check out the forms.
The Zero vs. Sigma flashback in X4. Zero gets the upper hand on Sigma by tearing off his saber arm, then closes in with a Slasher Smile. The next time we see Sigma, he's been beaten to a pulp and half his face is missing along with the eye on that side. The other eye has a single straight wound across it, implying that Zero methodically gouged out one of Sigma's eyes, started on the other, then got bored. Zero then (tries to) finish Sigma by snapping his neck, which he really could have done at any other point before then, showing that he wanted Sigma to suffer and die slowly. Even Omega had the decency to stun-lock you to death in 10 seconds. Zero also spends the entire fight laughing or screaming. Awakened Zero and Omega would at least talk.
In Mega Man X5, if the attempts to destroy the falling colony fail, you hear Dr. Wily telling Zero to awaken and destroy X. Then you see Zero on a mountaintop, glowing with purple energy. He finally went Maverick.
Plus there's the fact that if the colony crashes, Earth is almost annihilated.
X5's unused track, entitled "Armageddon", for when the space colony crashed. It sounds like a rock ballad, but there's a sense of the Earth being wiped clean. Also, if you listen closely there's discordant violins amongst the guitars.
Also, in X5, the backgrounds of the first three final stages consist of pure flashing moving straight lines AND terribly mind-numbing music, along with the the scary violet flashes of the appearing Zero Viruses - enough to freak you down to the soul. Considering that X5 was supposed to be the final chapter of Mega Man X, this could have been a great way to conclude the series altogether.
In X8 the final boss, Lumine, has an attack which is an instakill. It consists of the screen going black and you hear the character you are playing as scream his last. Only one question, What did he do to them?