The New World of Darkness sourcebook Asylum probes the fear of lobotomies for all it's worth, tying it into a setting where having one's brain destroyed is not the worst thing that can be done in the asylum. It's one of the most unsettling books in the line.
Promethean has the Centimani, but they are much less of a pure, unified "evil" faction than their counterparts in other game lines — quite a few aren't really evil, just world-weary and hurt, or simply follow unusual philosophies.
Hunter: The Vigil is no picnic, either. The Cheiron Group, the Lucifuge, and the Cainite Heresy are of dubious morality, while Ashwood Abbey, the Hunt Club and the Knights of Saint George are considerably more than dubious. Consider that that last one serves the local analogues to the Elder Gods...
Oddly enough, Geist The Sin Eaters doesn't seem to have this, at first. That's right, the game where you play a person who came back from the dead by making a bargain with some sort of incredibly alien ghost-spirit hybrid is in fact probably the lightest and happiest member of the nWoD gameline.
Of course, there's a catch. If you die again and haven't fulfilled your end of the bargain sufficiently (and you aren't dying of natural causes like old age), the Geist brings you back and someone else dies in your place. You get to live through the death of your replacement, and the trauma of being brought back can cause your grip on sanity to slip. Die enough times and the Geist takes over. Sure, you can say you want to be allowed to die next time, but the Geist can always do it anyway. And that's not even taking into account the Kerberoi.
The Geist themselves ARE the "guys trying to show evil is the only true way". By all means, they are insane half-death spirit ghosts. And they're ALWAYS hanging around the Sin-Eaters. In fact, your soul is bound to them. And when the Geist actually take over...it's not pretty.
Clockstoppers, who stop technology from working. O.K. you're thinking, but some of them see clothes and language as technology, reducing everyone in the area of their influence to cavemen who communicate in grunts (think about what happens to Commander Riker in that de-evolution episode of ' Star Trek: The Next Generation.)
Unmada are nigh on impossible for Mages to tell apart from Abyssals - they alter the area around them so the physics they believe in is true. (The Creator of Genius has stated they are not Abyssals, but a Mage wouldn't know that.) The bad part is if they end up in a hospital and their physics makes the equipment go wrong or ambulances pass their place of residence and stop.
And let's not forget Unmada Manes. See, an Unmada's reality-warping is mostly carried out by creatures made of Mania generated by the Unmada field. The higher the Genius's Inspiration, the more intelligent and numerous the Manes, and the Manes need to keep the Genius crazy if they want to stay alive. They will do anything.
An Insane Genius looks like a Mage, and An Insane Mage looks like a Genius, if one takes the wrong training, they can go mad from having the exact opposite philosophy to the one they're meant to have. An Obligation 0 Genius sees everything and everyone in a Measuring the Marigolds way, for example: "I just want to peel your face off, while keeping you alive using this machine, so I can see how your muscles work." Chances are they'd only keep you alive until the experiment was over, and then turn the machine off because they needed the electricity for something else.
Maybe the scariest thing of all in the World of Darkness isn't the monsters or ghosts or strange happenings that sometimes have no explanation, even by magical means. No, what's possibly scariest of all is that these evils still pale to what still happens in the unknowing mortal world. Wars are still fought, people are still raped, and children still die. The monsters may cause it sometimes, but then there's the times when all it took was one sick person with their own ideas. The human evil, the real, non-mystical human compulsion for hate, is still a more powerful force than any magic in this setting.
Which coincidentally makes Slasher one of the more disturbing supplements.
No kidding. Real-life murderers aren't movie-style concept-driven baddies with special, borderline-supernatural (or fully supernatural) abilities and resilience; they're just regular flesh and bone, as strong and smart as any other varied range of individuals, and what's profoundly wrong with them is nothing mystical, nothing fantastical.
Now we have God-Machine Chronicles. Take all the horror of Cthulhu, add in conspiracy thriller, make the cosmic horror in question and make it an utterly amoral machine best described as Passive-Aggressive Skynet God, and then for a final terror sundae, add in the fact that it can Time Travel to its heart's content. Are you sure that your past is your own...?