Please don't list this on a work's page as a trope. Examples can go on the work's YMMV tab.
Nightmare Fuel: Metallica
"The Memory Remains". You're lying if you say that the old woman (Marianne Faithfull, a famous English singer and actor) singing and playing the accordion isn't going to keep you up at night. Something like this.
"Fight Fire With Fire" can also be pretty terrifying. It's a song about a nuclear holocaust. The sound of a bomb going off at the end doesn't help.
Try listening to "One" and not imagining yourself in that situation. Watching the video is even worse. In the book it's based on, the soldier doesn't want to die, but, in a CMOA and CMOH, to go on a speaking (well, signalling) tour to show the inhumanity of war.
"The Thing That Should Not Be," with the unsettling chorus guitar and Kirk's lead giving the impression of a wailing beast, also fits in this category.
"Enter Sandman" is a song quite explicitly about nightmares. It takes the lighthearted folktale of the Sandman, and twists it into something terrifying.
"Until It Sleeps" sounds like it is about someone suffering from PTSD or some other traumatic event, or someone who has seen an Eldritch Abomination.