There's also one of the Intention of the Abyss' forms: a rabbit in a dress with black, bleeding pits for eyes.
She is also quite a frightening Mood-Swinger, being angry towards Vincent, then suddenly crying, then just as suddenly cheering up when she noticed it's time for tea.
If her wish to not be the Intention of the Abyss anymore is anything to go by, not even she is immune to the Nightmare Fuel.
If a contractor's clock goes around once, you can get dropped into a nightmarish dimension and get eaten alive by Chains. If you don't, you'll end up becoming one, anyway.
There were some unlucky people who got their bodies warped by the power of the Abyss without turning into chains, being brought into a zombie-like state instead. What makes this worse is that it happens outside the Abyss itself. Granted, it also happens in a place where the Abyss' power is concentrated the most, but still!
Even more disturbing is Oz Vessalius and how much he is shown to have suffered that he holds it in, but the crowning moment of is when Alice gets kidnapped by the Cheshire Cat, who drags the characters into lovely reminiscences of their past, that try to kill you. If you don't die of that, he will hunt you down and kill you. Oz happens to find Alice, and then she is killed. He then goes Ax-Crazy and tries to destroy the entire dimension, all the while screaming about how much he will kill everything and everyone who makes Alice sad. Then, he hears Alice say that she's scared of herself, and then decides: I'll just erase Alice!
Jack's obsession with Lacie outright borders on psychotic, what with wanting to send the world Lacie loved into the Abyss just so she wouldn't have to be lonely in the Abyss anymore. Then, there's his treatment towards Oz...
Yes, let's talk about Jack for a minute. Normally yanderes visibly go nuts when their loved one is threatened. and the madness stays with them. Alternatively, sociopaths are extremely good at faking emotion and acting friendly but go a little deeper and they simply don't care . Jack is neither. He is completely, utterly rational and reasonable in his actions regarding Lacie even when they're obviously insane and he never shows anything other than a genuine smile even when he's planning something incredibly twisted. He is a Dogged Nice Guy taken to the extreme and gets creepier when you think about it. The fact that he creeps out a Baskerville should clue you in about how disturbing this guy is.
At one point in the manga we get to see Break's empty eye socket and then there's the fact that in times of extreme distress he will scratch at his empty eye socket causing it to bleed. He's also going blind in his remaining eye.
The incident in Sablier that happened shortly after Leo became Elliot's servant. When your new and Only Friend gets stabbed by an Eldritch Abomination right in front of you and ends up being contracted to it to stay alive, you'd definitely wish it was all a nightmare.
Becoming Glen doesn't seem to be a happy fate. When you're "lucky" enough to live long enough without getting killed, you will still have to deal with your body deteriorating from the strain of having too much power of the Abyss in you. Once transferring Glen's soul to the next vessel is done with, you will gradually start dying a slow and painful death, and eventually turn into a chain. It's remarkable how Levi never stopped smiling throughout the ordeal, except for the occasional moments of shock.
Even without that, you will end up distorting reality around you, especially the lives of those around you, and being Glen amplifies this. Just ask Leo. Or, well, any of the Glens, really.
The Tragedy of Sablier. It's a massacre, for Pete's sake! Said massacre happened to double as a Mercy Kill to keep the people within Sablier from A Fate Worse Than Death, as Sablier starts to fall into the Abyss. Poor Oz is understandably disturbed ,even when he was still B-Rabbit.
Jack's fate after the Tragedy. Reduced to fragments of his soul desperately holding on to life, de-aging back to a baby and then returning to his former age without really knowing what was happening, several times. All the while never being completely sure that he would still exist after this cycle.
Lacie and Alyss are both extremely psychotic. It's completely disturbing to see both of them laughing while blood spurts everywhere. Then again, considering their respective pasts, maybe it's understandable.
Oz was B-rabbit once upon a time, right? He must've been a complete psycho who enjoyed killing. Nope. The entire time Jack orders him to kill people, you can hear Oz shouting, "No, I don't want to kill people!" Then, when Jack runs into Alice, she gets completely stiff and asks him what he's done to Oz. She says, "Can't you hear Oz screaming through his tears?" Then you get this image: Sweet dreams.
The part where Alice has a horrifying daydream about a bunch of hands dragging her down into the abyss was pretty horrifying in its own right. And why did no one mention poor Cheshire? Having your eyes cut out by a psycho boy with scissors is not a great way to die.
This is more of a subtle one, but Reim tells Break that his chain has the ability to fake death, knocking the contractor out for a random period of time to complete the illusion. Also, Barma told him to keep this ability a secret from everyone in order for it to be truly effective. Now think about it. What could have happened if he'd been knocked out for a far longer period of time than he was...
How about Oswald's plan? He wants to go back into the past and kill his OWN SISTER, someone he cares about dearly. Dear lord, that's insane. Not only that, he wants to kill his own nieces. If you stop to think about it for a moment, it was Jack who got everyone where they are today-i.e, he gave Oz a body to inhabit, allowed Alice to live a life free of being in a tower and spared Gil the pain of killing Vincent when he became older. Now think about what happens when Oswald gets his way. Oz stays as the rabbit doll and never gets to interact with anyone, thus preventing him from ever befriending Gil and saving him from depression. Like it or not, Oswald, your nieces saved the world, so show some gratitude. Without them, the world is doomed. Oh, no Jack? Gilbert and Vincent are gonna die out on the streets because it was Jack who found them. Basically, Oswald's idea of "paradise" is 100 years of dictatorship under his rule, where only the Baskervilles are allowed to have chains, which means no one can fight back, no one can do what they want without "Glen-sama" deciding. Is he really wishing to save the world, or does he just want to control everyone in it? IT becomes  when you see him gorily murder members of Pandora simply for disagreeing with him. Dear lord, what's he going to do when he rules over them? Would he really be a kind and caring ruler? He is walking Nightmare Fuel. Before, he wasn't so bad, but now he makes Jack look like a nice guy in comparison.
The notion that Lacie was seduced and raped repeatedly by a man who took her in and raised her as a father figure. Think about it, she has no parents, and clearly Revis told her to shut up about the abuse and pretend it didn't happen. She's also afraid of him, and Revis comes across as this when you realize just how flat-out TERRIFYING the man is. He shows no remorse for impregnating Lacie against her will, imprisoning her and (presumably) subjecting her to emotional abuse, telling her that no one wants her and that she will happily die. This man is the cause for Jack dropping the world into the Abyss. Worst thing is, there are people like this who exist in real life. There are men who seem so nice and caring to girls and then when no one's around.....makes you wonder if the author was trying to put a message here. Either way, it's flat-out terrifying.