This is based on opinion. Please don't list it on a work's trope example list.
Nightmare Fuel / Radiant Historia
Imagine marching to war when all of a sudden, you feel sick and drained. The last thing you feel as your vision fails is a grainy sensation as you crumble into sand.
Quite a few of the bad endings are horrifying. Notable examples are Marco suddenly going insane, slaughtering the entire party except for Stocke, and then giving Stocke an absolutely chilling Hannibal Lecture about how it's all his fault his girlfriend is dead before leaving him to die, and Aht going into full-Yandere mode and trapping Stocke forever in a nightmarish dreamworld where they can spend eternity together.
A more Adult Fear example is Alistel slowly becoming more and more of a police state, with Hugo taking over and abusing his position as the Prophet Noah's voice to lead the country on a genocidal crusade. What makes this even worse is the only other factions you can side with are either just as bad or woefully undermanned. It's truly the Darkest Hour of the story.
Hugo's death in the Alternate History. He burns alive due to his time-reversing Healing Factor backfiring, and he's smiling the whole time, still babbling insanely about how he still thinks he's doing the will of Noah. Not that he didn't have it coming, but it's still terrifying.