This is based on opinion. Please don't list it on a work's trope example list.
Nightmare Fuel / Persona Q: Shadow of the Labyrinth
"Oh...what are you doing here, little children?"
It's Persona as an Etrian Odyssey game. If you have any idea about F.O.E.'s from EO — that they're on-map enemies that are much more powerful than the Random Encounters surrounding the area and thus are to be avoided at all costs until you come back later with a more powerful team — yep, they're in this game too!
The doctor is flanked by two Bubblehead Nurse expies, whose bodies bend backward unnaturally and their idle animation have them violently twitch and spasm before you make your first move. Enough motivation to kill them fast just so they stop being creepy.
Of course the doctor himself is nothing short of nightmarish. He looks like an obese doctor with giant pliers for a weapon, there are visible bloodstains on his costume and his head looks deformed and his face looks like some one tore off a baby's face and then sewed it on some one's head.
It gets even worse if you take into account that Mitsuru may have been experimented on by the scientists under the employ of "Granddaddy Dearest", which may explain her reaction to the Shadows in question.
Really, the entire third stratum. You think the first haunted school half is not that bad? The place is still full of F.O.Es that looks like baby with bloody bag on its head chasing after the party, disembodied piano playing Für Elise in background that you have to get closer to shrug off said baby, and the "Six Sisters" scenario where the party step inside a room, the light suddenly goes off, and disembodied giggles come from everywhere before the light is on again. Watch the minimap on the lower screen, and you then realize you've been surrounded by six F.O.Es the entire time the light was off. The second hospital half has several arms hanging from the ceiling as a background environment, bloody handprints appearing on the ground and squelching noises as warning signs of the F.O.Es' domain, and there's a part where Rei has to go through those things alone so the party can advance.
Regarding the Lovely Dolls, after you get over the Jump Scare factor of them the first time, they don't seem that scary. After all, you know where they are, so you're not going to run into one unless you're trying. So naturally, you wonder what happens if you do run into one. It's just a small doll, it can't be that scary, rightOH GOD! Let's just say the phrase "tip of the iceberg" comes to mind and leave it at that...
Then there's the Old Doll, pretty much the F.O.E Climax Boss of the dungeon. The first time you encounter it is on the first floor, where you go through a series of doors, while every time it follows and holds the one behind you closed. It's not too bad there, since there's no risk of actually fighting it. The real creepiness comes on the third floor, where at a certain point, it appears again to hold down a door behind you. The scariest part of this? In the P3 story at least, there's no mention of this at all unless you look at the map or try to go through the door. No-one makes any comment on it whatsoever, so it's very easy to go a while without even realising until you notice an F.O.E symbol on your map that wasn't there before. And then you reach the final floor, where it finally decides to come after you. It acts like the above-mentioned babies, but it can move 2 spaces per step. And if you hadn't seen the Lovely Doll's true form before, chances are you're going to see it now. To make matters worse, it's accompanied by its own Leitmotif, which can only be described as Dissonant Serenity in music form.
Whomever hears the bell to the end will die. What do you hear throughout the trailers? The bell.
Any F.O.E. that looks like a baby riding a horse, like the all-gold example encountered by the hosts of Persona Stalker Club. To think that something that cute could be a Demonic Spider.
The design for the boss of the fourth stratum: Best Friend/Shadow Rei, which turns out to be a Hair-Raising Hare. Jesus Christů
Everything about the fourth stratum boss is nightmare fuel. Compared to the other Shadow Selves, Shadow Rei is notably bestial after going berserk, becoming a roaring, screeching monstrosity who can't even speak a coherent word and literally drools at prospect of killing its real self. Even before transforming, Shadow Rei is a bundle of helplessness that came from her despair at having no self-worth. Small wonder that Erebus exists and is immortal; if one girl can form this horrible a death wish, imagine that of all of humanity.
Back in Persona 4, all the Shadow Selves transformed by absorbing the other Shadows around them. Visually, this just mean that they would become enshrouded in a red mist before emerging in their boss forms. How does Shadow Rei do it? The rabbit doll she's holding snaps its own neck causing stuffing to flow out and engulf her entire body. Next, we see a pair of rabbit ears pop out and- HELLO!
During his explaination of her story after he regains his memories, Zen casually mentions that Rei tried to gouge out her own eyes. Which is why they looked so strange all the time she was with you.
Think back to her Shadow; after transforming, its eyes appeared to be bulging and surrounded by blood. Why do you think that is?
TheReaper is back, as an F.O.E. for the final dungeon. And it's just as persistant as ever, following you throughout an entire floor, even across holes. And if it catches you, you have very little hope of escaping before it inflicts a Total Party Kill.
The revelation what would happen to every one if the two teams don't just leave the Labyrinth after the Fourth Stratum. Basically, the Clockwork God will absorb Zen into himself to become Chronos again, and then erase the Labyrinth with every one inside it, which would not just result in everyone dying, but everyone being erased from the timeline for good!
If you've played Persona 3 to completion, you'll know just how bad this is: without the protagonist and Aigis, Death would never have been sealed, meaning that the Fall would have been completely unavoidable.
When the final dungeon reveals itself, all background scenes during the main hub are changed. In one of them, your whole party is gone, and instead you get a spider web covering most of the screen with a small white spider Shadow sitting there. Particularly unnerving the first time it appears, when you're not expecting it. The fact that the whole area is now tinted an ominous purple doesn't help either.
According to Rei, Yukiko's cookies made her dream that she was being held down while sand was being poured into her mouth. Mildly disturbing, to say the least. Yukiko's cooking is now literally Nightmare Fuel, on top of being comically awful.
Yukiko's cooking can now canonically make a ghost hallucinate and paralyse a god of death. One wonders how the P4 Hero survived her Social Link...
While the wedding events in the Group Date Cafe are mostly hilarious, the fact that the protagonist and their "destined partner" have their hands seemingly permenantly fused together is pretty creepy.
While we're on the subject of the Group Date Cafe, can we just take a moment to appreciate its 3rd and 4th floors? Just to give you an idea, the first two floors are exactly what you'd expect from a "group date cafe". Not the last two. All the colors turn darker, the place becomes adorned with chains and demonicfaces on the walls, the stuffed bears also turn demonic and appear to be dangling like hanged corpses... And this level was supposed to be cute?
Y'know what really doesn't help? The music. At first it doesn't sound too bad, just a bit eerie and surprisingly melancholy, but given all the F'ed up imagery, plus that audible... "pulsating" noise in the background, it only makes the situation more uncomfortable.
An Adult Fear example: during Rise's wedding event to the P4 protagonist, she doesn't have much of a reaction to the fake wedding photo, because she says she has to deal with fans sending things like that to her all the time, and that most of them "are a lot worse than a magical wedding of a prince and a princess". Yeah, that doesn't leave much to the imagination, and it's likely Truth in Television too. It gets worse if you've played Persona 4, and you realize things like that probably had a hand in spawning her Shadow.
The Game Over screen. Business as usual, for the most part: the standard Velvet Room music, except a whole lot more ominous than usual, plays over the standard Persona scrolling text...while a giant pair of disembodiedcrimson eyes gaze straight at the player, blinking coldly at you. Quite a scare if you're not expecting them, or if you really don't like those particular Eye Tropes.
The final duel with Elizabeth showcases just what would happen if either of the heroes attempted to fuse/summon a Persona when they hadn't reached the proper level to control it. The fact it's happening to Elizabeth of all people just makes it scarier as a testament to just how mind-breaking powerful Zeus is.