This is based on opinion. Please don't list it on a work's trope example list.
Nightmare Fuel / Nine Inch Nails
Some videos border the line between this and genuine horror. Notably the one for "Down in It," footage from which was analyzed by the FBI as possible footage of a "gang killing" before it was revealed what it was.
While "Closer" is deeply unsettling, the best example of their (his?) work is "Deep," in which lead singer Trent Reznor drives around in his car, looking like one of the Uruk-Hai creatures from Lord of the Rings, due to the fact that he had stolen a valuable safe, and was sprayed with a toxic dye that won't come out.
"Happiness in Slavery." (NSFW) In case you might think of checking this one out for yourself, here's a summary: A man gets naked, lies down, and allows a machine to rip off his penis and gradually chop up the rest of his body, then grind him into meat, all depicted quite graphically, though about as artistically as possible... And in black and white. You've been warned. The man in question? Bob Flanagan: Supermasochist. He was all over this video.
"Starfuckers, Inc.," a rare music video from NIN, features Trent and a typical 'Hawt Blonde Gurl' going to a filthy carnival that looks like it's taking place in the Deliverence town, featuring all sorts of celebrity Take That including a hideously obese Courtney Love. The video doesn't get insanely freaky until the end, where it's all in strobe lights and Hawt Blonde Gurl shocks everyone by revealing she's Marilyn Manson!
The music video for "Pinion," a short instrumental track, is downright unsettling. All grainy and colorless, the video starts with a creepy shot of a dirty toilet flushing, with the music lightly tapping away. As the track builds, the video pans down the pipes, getting more intense until you see a leatherbound human being with his mouth against the pipe; twitching silently as he's drowned. Holy mother of God.
The video for "Came Back Haunted" (EPILEPSY WARNING) was directed by David Lynch, and it shows. The seizure inducing flashing, the constant camera shaking on the scenes showing Trent's face, the very strange looking photographs and clay models, it's exactly what one would expect out of a music video from the man who made Eraserhead.
"Help Me I Am in Hell" has a video of a man having a meal of steak and wine in a room full of flies. One has to wonder how many flies he must've ingested while keeping such a straight face..
The concept behind the Year Zero album and ARG: Brutal, fascist American theocracy following biological terrorism, a drug-enhanced fanatical military, drugs in the water supply to subdue the populace and increasingly frequent mind-numbing visions of ghostly, god-like hands descending from the sky known as "The Presence." "Proof" found via scrambled messages from the future scattered across websites and audio and video found on USB keys discovered at concert venues.
The entire lore is pretty terrifying. Tribute websites dedicated to people killed in a bombing of the Academy Awards, a radio broadcast of an explosion at Wrigley Field, the diary of a child who watches his family die off...
o my god, dj, itís over the capitol. o my god, o my god iím so sorry.
this is the beginning
the stars are blowing out like candles, danny jane
make a wish make a wish make a wish make a wish make a
Also, the corrupt, scrambled appearance of the websites, caused due to the sites being sent back in time. Also, said event (As implied by "Hour of Arrival") seems to have occurred during the end of the world (February 10, 0000).
Several of the actual songs would also count, including "The Becoming", ''The Downward Spiral" and "Eraser".
"The Becoming" has background music that consists of people screaming in fear.
On the Remix album for The Downward Spiral has a song called "Erased, Over, Out". At normal speed it's already High Octane with a sound that sounds like a pained, prolonged scream repeated over the course of the track. Speed the track up. I dare you
From the same remix album: "The Downward Spiral (The Bottom)." At roughly a minute and twenty seconds in, a genuinely terrifying scream, distorted to sound like it's coming from underwater and then getting closer, bursts out of nowhere.
The original is pretty unsettling as well, what with the detuned guitar riff, the flies buzzing, the muffled screaming and drumming, and the disturbing lyrics. It sounds like it's rotting and falling apart.
"The Mark Has Been Made" is mostly an awesome song, invoking the feeling of I Am Legend or S.T.A.L.K.E.R. The last 21 seconds are a different story.
That is actually part of "10 Miles High" originally on the vinyl version of "The Fragile". It was put in as a little secret.
"Lights in the Sky" is guaranteed to make the blood run cold in your veins.
"The New Flesh" is terrifying.
As is fellow The FragileB-Side "10 Miles High", mentioned above. Featuring the creepy "I'm getting closer..." buildup previously mentioned, then a harsh, heavy, metallic riff explosion, then more quiet creepiness, then more heavy riffing, muffled this time so it sounds distant and decaying, then finally an absolutely terrifying, ending with creepy processed chanting:
"Ripe (With Decay)", the closing track from "The Fragile". It's pretty much the definition of an excruciatingly grim ending - the fluctuating acoustic guitars rise their heads above the muck, disintegrating into distorted, disjoint piano until the rotten, diseased acoustics return to make an awfully grim and ambiguous closer to the album's concept. The whole thing sounds as if it's rotting away under a thick sheet of frost...brrrgh.
Then again, the song is suppose to represent the idea of returning to that feeling you wanted to leave behind (which in this case, was depression).
By extension, "Underneath it All", the ambiguous penultimate song of The Fragile. The erratic electronics, the vocals rising in volume as it goes on, the sheer despair of the lyrics that emphasize on the idea the above troper made note of...chills. ALL I DO, I CAN STILL FEEL YOU...
Let's be honest here- pretty much the entirety of The Downward Spiral is this. From the opening THX 1138 samples to the noisy, droning Last Note Nightmare at the end of "Hurt" (which brings to mind flatlining ECG). Even the Mood Whiplash of "A Warm Place" manages to count, in a Nothing Is Scarier sorta way (it's the soundtrack to the point in the album's plot where the protagonist realizes how hopelessly fucked up he is, after all). What would you expect, from a Concept Album about a character's self-destruction, descent into insanity and eventual suicide?
Special mention must go to "Big Man with a Gun", which could be perceived as a rape scenario, or otherwise the protagonist going on a major power-trip, or actually him going insane and violent rampage. Either way, this is the point where the already dark and nihilistic album takes a turn into the supremely fucked up. The intense speed of the song, a highly distorted (and almost unrecognizable) scream of pleasure taken directly from a porn movie and the fierce distortion in the music and vocals building throughout, combined with the lyrics, make this deeply unsettling, particularly when followed immediately by "A Warm Place".