This is based on opinion. Please don't list it on a work's trope example list.
Nightmare Fuel / Rise of the Guardians
Sandman finally being overpowered by Pitch after a ferocious battle where the two are pretty evenly-matched. Just the look on his face as he's watching himself become consumed by the black sand, and no one can help him. Also doubles as a Tear Jerker towards the end.
How about the way Jack died saving his sister? Whilst some state that drowning is a peaceful way to die, the reality of what it does to your body is very brutal and likely to be excruciatingly painful - the amount of intense and damaging pressure applied to the lungs and head in order to hold your breath to stay alive, your lungs soon filled to burst with water against your will, you're panicking for air and even worse, if you're in a frozen lake like Jack was, your body becomes so instantly numb that you can't even move or struggle. Your body just begins to slowly shut down, and there's no hope for you. Now think about how this is what the playful, pure, warm, harmless young man that is Jack endured before he became a Guardian.
Leading on from this, Jack's poor younger sister most likely had all of that childlike innocence ripped out from her the second this happened. After watching her own brother die, what would she have done? Would she have run screaming her little heart out back to find someone to help? Considering that she's likely not much older than Jamie, think about the impact this would have had on her. What kind of life would she have lived afterwards?
It's not nightmare, but it heads in the same direction when you see what happens to the Guardians as they return to their mortal forms more and more. Bunnymund turns into a normal bunny, Tooth Fairy's wings moult and fail, and you can actively see her trying and failing to fly, and Santa is the worst of all, as he is no longer strong and powerful, but a tired old man. You can almost hear those bones creak.
Just before North launches into his speech about the center and wonder, the door locks behind Frost and North simply towers over Jack for a moment. Amongst all his laughing and jokes, it's surprisingly easy to forget that North can be a very terrifying man when he wants to be.