Please don't list this on a work's page as a trope. Examples can go on the work's YMMV tab.
Nightmare Fuel: Nightwish
Remember kids: having your alarm on "random song" may seem like a good idea. And then you hear "Cadence of HerLast Breath". Or maybe it is. At least you won't be tempted to reach for the "snooze" button after waking up to that...
A few other good Nightmare Fuel songs include "The Kinslayer","End of All Hope","Feel For You"... heck, a lot of their songs could be considered this if you ended up listening to them at the wrong time.
"The Poet and the Pendulum". This is the song that practically saved the songwriter from committing suicide, since the song is about him. The weird screeching noise followed by what sounds like a snapping chain midway through the song. Selected lyrics include:
"I’m afraid. I'm so afraid. Being raped again and again and again."
"You live long enough to hear the sound of guns / Long enough to find yourself screaming every night / long enough to see your friends betray you."
"Cut in half - infanticide."
Their latest album, Imaginaerum, gives us such creepy gems as "Ghost River" ("He will go down he will drown drown, deeper down..."), "Song of Myself", and the aptly-named "Scaretale".