Most of the lyrics on In Absentia. While most of the songs are pretty ambiguous and can be interpreted in a number of ways, Word Of God states that several songs on the album are about Serial Killers, and in light of this the lyrics often become terrifying. Wilson on the title: "It's about people on the fringes, on the edges of humanity and society. I have an interest in Serial Killers, child molesters and wife beaters…not in what they did but in the psychology of why, what caused them to become unhinged and twisted? Why are they unable to empathize? It's sort of a metaphor - there's something missing, a black hole, a cancer in their soul. It's an absence in the soul."
A standout from In Absentia is "The Creator Has a Mastertape." The lyrics are absolutely terrifying and those wailing drones in Wilson's guitar makes in the chorus do not help.
"The Creator Has a Mastertape" isn't his only song about children murdering each other, either. Porcupine Tree's "This Is No Rehearsal" was inspired by a real life example. Just a bit of Fridge Horror for you, considering the song itself sounds pretty happy.
Fear of a Blank Planet in general. The music video for the title track takes this Up to Eleven.
Some of their older stuff can be Nightmare Fuel also. Try listening to "Up the Downstair", "What You Are Listening To", "Voyage 34 Phase IV", and "Space Transmission" alone in the dark.
"Bonnie the Cat". Holy shit, "Bonnie the Cat". It talks about rape and subsequent pregnancy FROM THE RAPIST'S POINT OF VIEW. Well, Steven Wilson did say he likes to write about things that are scary to him...
"Radioactive Toy" deserves a special mention, since it was inspired by the movie Threads.
Not a song, really, but "Space Transmission" from On the Sunday of Life is terrifying, from the angry whispered delivery to the disturbing images contained within. Protip: Do not listen with headphones at night.