This is based on opinion. Please don't list it on a work's trope example list.
Nightmare Fuel / 100 Bullets
Lono in particular. Everything he does is creepy and if he's looking at you he's probably thinking of a way to kill you. This example also is fully in effect in universe.
Remi losing his hands.
Lono nearly dying of poison gas in a sauna.
The actions of the original Minutemen. It turns out they were responsible for the disappearance of the Roanoke Colony in that they slaughtered every man, woman and child in the dead of night. They did this because the British Crown had denied the original Trust their plans for America's future. Not only does it show how merciless the Trust and Minutemen can be, it also serves as a terrifying reminder of how influential the Trust is in that they've pulling America's strings long before it was even a nation.