Please don't list this on a work's page as a trope. Examples can go on the work's YMMV tab.
Nightmare Fuel: Persona 3
So freakin' much. The random student who suddenly finds himself in the Dark Hour and gets attacked by the Shadows in one of the first cutscenes for one. Thanatos ripping the Magician to shreds is another (NF monster versus even worse NF monster!). And then there's the rattling chains of the Reaper as it stalks you through Tartarus...
The cutscene of a random man in the Dark Hour breathing heavily, accompanied by sounds of dripping . . . until we see that a shadow coming out of his EYE.
Later when Nyx's true form is revealed and people who believed in the apocalyptic rumours that Takaya and Jin were spreading throughout Port Island randomly exploding into shadows in ecstasy!
The protagonist's first summon. Right after Orpheus shows up, Thanatos claws his way out of Orpheus' body. You get to see Orpheus's head wobbling dangerously on his neck before hands just burst out of the neck, throwing the head aside, and the whole body just wriggles in the most unnatural way before long arms shoot up through the neck-stump, grab the body and then tear it apart in a shower of gore, revealing Thanatos. Which then proceeds to rip the Shadow apart while screaming in fury.
The wailing roar that Orpheus makes when first summoned isn't exactly reassuring either.
The opening. You see the protagonist walking through the streets of Iwatodai, people talking...and then a girl (Yukari) attempting to summon her Persona with her Evoker... but it looks like she's about to commit suicide.
How about Apathy Syndrome in general? The idea that you, your best friend, your mother, your girlfriend could could be out wandering the streets in a semi-catatonic state, slowly straving to death or dying of thirst, totally helpless to everysadistic whimof random strangers?
Given the similarities and parallelisms between apathy syndrome and some forms of depression, this is most likely to be the desired effect on the player.