This is based on opinion. Please don't list it on a work's trope example list.
Nightmare Fuel / Mulholland Dr.
The infamous scene featuring two guys, a diner, and something resembling a zombie hobo out back.
Also a little meta-Harsher in Hindsight. Remember when the one guy says "I hope I never see that face outside of a dream"? Flash forward 5 years to Inland Empire and, well...we get to find out exactly how he was feeling.
Sierra Boniokayta. This is when the film takes a much darker turn, as Betty and Rita investigate the apartment of Diane Selwyn, looking for answers regarding Rita's true identity. Do they find anything? Yes: Diane's decaying corpse in a bed. The neighbor's knocking on the door somehow makes it worse.
Much of the film's cinematography style and soundtrack.
The old couple with the ghastly grins.
Llorando. What starts as an ominous stage performance gradually shifts into a Tear Jerker, and somehow becomes more terrifying the longer it goes on. The film goes straight into Mind Screw territory just after.