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Nightmare Fuel: Michael Jackson
The lines "She showed a photo/My baby cried/His eyes were like mine" in "Billie Jean".
The images described in his song "Thriller" and then Vincent Price's haunting Evil Laugh at the end!
"Morphine." It describes a patient being lured into an addiction to demerol by his doctor. Sounds familiar?
Taken on its own, "Smooth Criminal" is a fairly chilling song about a woman being attacked during a home-invasion. The chorus repeats, "Annie, are you okay? Won't you tell us that you're okay?" and the line, "it was her/your doom," repeats throughout the song as well, suggesting that she was either killed or left for dead by the intruder.
His music videos
The famous "Thriller" video, an homage to 1950's horror films, which features him transforming into both a were-cat and a zombie (the former on-screen and quite detailed, what with the video being directed by John Landis), and ends with Jackson turning to face the camera with yellow cat eyes and a Slasher Smile in the final scene. And if those examples don't creep you out, then Vincent Price's cackling at the very end certainly will!
His music video to "Leave Me Alone" is so surreal that it can be frightening for very young children who don't know what's going on.
The music video to "Ghosts" had some scary moments as well.
The "panther dance" epilogue of "Black or White". Emotionally powerful and set in a dreary, frightening back alley at night, it's inspired claims that it contains messages pertaining to the Illuminati via secretive, discreet symbolic and expressive body language. An alternate interpretation is that he's expressing solidarity with the Black Panthers, given that the sequence is bookended with him in the form of an actual black panther. Even if neither is true, there is something about the video that screams that there is something evil amongst the backdrop as Michael Jackson dances and stirs up commotion in his location.
It doesn't help that it's aimlessly violent and sexual, with copious amounts of crotch-grabbing. After it initially aired and complaints rolled in from families, Jackson allowed the segment to be dropped — not hard to do, since the actual song was over by that point. (Indeed, another theory about the segment is that he knew there was No Such Thing as Bad Publicity and decided to deliberately court controversy.) A reedit of the full-length version has random racist graffiti added, via CGI, to the items he smashes up.