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Nightmare Fuel: Pirates of the Caribbean
Curse of the Black Pearl
Anytime the crew of the Black Pearl become skeletons.
"You best start believin' in ghost stories, Miss Turner. You're in one!"
The crew's attack on Port Royale.
The destroyed merchant's vessel in the opening scene. At that point, first-time viewers have no clue of what happened beyond that creepy ship with the black sails that may or may not have been out of Elizabeth's imagination. When you know about the Pearl and its crew, you have to wonder how horrifying it must have been for them. Their first sight of the Pearl, the attack, the realization that this pirate crew just won't die...
Remember the hand that Elizabeth's father breaks off of a pirate, then shoves into the drawer during the fight when it attacks him, that apparently turns back to flesh once the curse is broken? Now remember that Elizabeth knocks two guys to pieces when she's freeing Gibbs and crew on the Pearl, and the fact that we never see those two again...
Dead Man's Chest
This film in particular makes liberal use of the characters walking into scenes where something horrific has just happened, and experiencing the aftereffects just as whatever caused it finds them - Will on what he thinks is the Flying Dutchman is a particularly good example, but it's everywhere on Isla Pelegosta, from Will exploring the abandoned Pearl while it slowly becomes obvious that something terrible happened, or Jack finding a suspiciously vacant East India Trading Company settlement. This film used suspense and dramatic irony as much as it could for the sake of tension, and it makes the air of fear a lot more pronounced.
Gibbs' description of the Kraken conjures some pretty unnerving images.
The worst part is, the audience gets to experience all of that. Even before we get that speech or even see the Kraken clearly, we see it pulling a ship full of innocent traders underwater to their deaths in an instant. When Will boards what he thinks it the Flying Dutchman, he sees a man with no face, and what's left horribly warped - the directors' best impression of a face suckered clean off. We only see the horrific image of its mouth clearly at the very end... but luckily we can't smell its breath.
When he pulls away from the ship to talk, only the front half of his body pulls away, and you can see his brain... or possibly what used to be his brain and has now become a chunk of brain coral, in which case it's still horrifying as a Visual Pun.
The Turkish prison scene where crows peck out a prisoner's eyes.
The Pelegostans - imagine an island full of people who can hide anywhere, can and will catch you, and once they find you they will cook you and eat you without a second thought. The lead in before we discover them is particularly tense, with Will running into Cotton's Parrot who echoes the dead crewmen's screams of "don't eat me! Please, don't eat me!" while remaining totally oblivious of what was going on.
The ubiquity and ruthlessness of the East India Trading Company, particularly how Beckett is effortlessly able to get anyone arrested, manipulated, controlled or outright murdered the moment he wants to... and there's nothing the heroes can do to stop him.
At World's End
The opening begins with an onscreen hanging of pirates, including a child.
Will being inducted as Captain of the Flying Dutchman, Bootstrap Bill personally cutting out his son's heart.
When the heart of Davy Jones is stabbed, there's just something horribly... unnerving... about the way Jones' tentacles writhe.
On Stranger Tides
Especially when you can hear the terrified screams of Barbossa's men as the mermaids slaughter them.
The scene where one mermaid is singing and the others are swimming underneath the boat is very suspenseful and quite reminiscent of Jaws.
Blackbeard being seemingly flayed alive by the waterspout as his skeletal hand reaches out to the horrified Angelica.
Not to mention the fact that we can see his blood while his body is being torn apart.
One can also see his guts for about a second, leaving his body only to be torn to pieces.
Don't forget how it seems to be reaching towards the screen.
The results of the Queen Anne's Revenge's riggings coming to life under Blackbeard's power and snatching up the would-be mutineers — the men hanging from the now-tangled rigging like flies caught in a spider's web.