This is based on opinion. Please don't list it on a work's trope example list.
Nightmare Fuel / Siouxsie and the Banshees
"Not Forgotten:" With the creepy moaning in the background, not to mention the lyrics: "You buried it so deep / So safe in hidden sleep / But like a telltale corpse / Rises to the surface / Over ripe and bloated." -shudder- And "Spellbound"... "When you think your toys are going berserk / It's an illusion / You cannot shirk / You hear laughter cracking through the walls / It sends you spinning / You have no choice!"
Their radical re-invention of The Beatles' "Helter Skelter" is taken (it would seem) from the perspective of the Charles Manson inspired Tate-LaBianca murderers. The jagged guitar intro sounds like Psychoknife-slash music, the lyrics are chanted like a disturbing litany, and the whole thing works up into a speeding frenzy until it suddenly stops dead and plunges into silence...
The wordless "Pure" from the same album (The Scream,) which would make perfect theme music for the opening titles of a horror movie.
"An Execution:" Just a fucking creepy piece of music/narration. Which according to The Other Wiki, is inspired by Elizabeth Báthory.
The way it starts with creepy guitar distortion and then temporarily changes into a flurry of ominous spoken word from Sioux (including such glorious talk of a guilty person being forced into the slitted-open stomach of a random horse), until it changes into eerie piano.
The ominous (and awesome) B-side Umbrella.
"Christine" is inspired by famous MPD patient Chris Costner Sizemore. Its B-side "Eve White/Eve Black." seems to be about two of Sizemore's personalities. It starts out with a creepy arpeggio followed by some soft, eerie singing. Then about a third into to the song, there's a horrifying scream, and anyone listening becomes too paralyzed with fear to skip to the next song.
Update: Just listened to the original demo of "Eve White/Eve Black." It's instrumental, and possibly even more unsettling.
Also from Kaleidoscope, there's the haunting, electronic "Red Light", eerie "Tenant", "Trophy", and "Skin".
"Playground Twist" a song from Join Hands which is lyrically and sonically intense with noisy guitars, ringing bells and Siouxsie belting out nightmarishly oblique lyrics.
Join Hands is generally filled with nightmare fuel, and Steven Severin even went on to say that he thinks the only actual 'goth' record the band made is this album. It's filled with ominous moods and distorted guitar, plus some talk of premature burials and possibly war.
For example, the fierce opening song Poppy Day.
Placebo Effect, which speaks of surgery (placebo?) over distinctive, eerie guitar distortion.
Premature Burial. "WE'RE ALL, SISTERS AND BROTHERS."
I personally find Mother / Oh Mein Papa a bit soothing and Heartwarming but the minimal music box can get a bit eerie.
The much criticized but spooky 14 minute Lords Prayer recording. It near relentlessly stomps about with some creepy lyrics like "you can run / you can hide / but you'll neverrrr get to HEAVEEEENNN". Even the dramatic yodeling from Siouxsie later in the song is quite ominous and jarring.
Juju is infamously filled to the brim with nightmares. Siouxsie commented that it's more 'psychological horror' than 'ghosts and ghouls'.
Monitor, which is filled with stomping guitar and drums and some lyrics seemingly about security.
Night Shift, a slower song with some amazing, haunting guitar and creepy lyrics inspired by a murderer. The desperation and drama of Siouxsie's vocal really inhances the effect.
Head Cut is less straight up dark and ominous, but the lyrics are full of disturbing body horror. Especially Siouxsie's shouting of "With eyes and lips CUT OUT!"
Voodoo Dolly is without doubt the scariest the song (although Night Shift is close). The music begins slow and prickly with deep ominous bass, then later gets faster while Siouxsie brings in some disturbing lyrics like: "And when you're DEAD, she'll find another" and "OH SHE'S A SORRY LITTLE DOLLY".
A Kiss In The Dreamhouse has "Cascade" and "Melt!", while the B-side from the era "Tattoo" is very subtle and spooky.
Hyaena has "Bring Me The Head Of The Preacher Man" and the frankly scary buildup in "Blow The House Down".
Tinderbox is more playful than the other 'darker' Sa TB albums, but still has it's moments.
"92 Degrees" which begins with an eerie sci fi sample.
Peepshow can get very spooky, and I personally find a lot of it to evoke some sort of dark fairground.
The stunning six minute finale "Rhapsody", complete with spooky operatic singing from Siouxsie toward the end. The quiet intro to this is particularly creepy.
"Carousel", which evokes a darkened, abandoned carousel march and ends with a Last Note Nightmare.
The brief and bizarre "Rawhead And Bloodybones" is more weird than creepy, but still rather disturbing.
While "The Killing Jar" is a happier sounding tune it's lyrics speak of butterflies being trapped and killed.
Superstition is pointedly a lighter album, but "Drifter" deserves a mention for it's slow build and eerie vocals.
"Little Sister" is quite haunting.
"The Double Life" from The Rapture has a similar story to Jekyll and Hyde complete with some creepy distortions in the guitar and some spoken word bits from Siouxsie.
From the same album, the despairing "Love Out Me".
"Pulled to Bits," the B-side to "Playground Twist," may easily be the wrongest song ever recorded, it starts with the sound of playing children, present in the single's A-side. Then, the bass kicks in, followed by a jittery chord from an acoustic guitar. This continues through the entire song. Then, Siouxsie joins in with her horrifyingly graphic lyrics.
Pulled to bits — in silence
left rotting on the ground
Slowly pulled to bits — in silence
without a sound, without a sound.
Also, about halfway through the song, there's this deep droning noise (which frankly sounds like some sort of Eldritch Abomination) that comes OUT OF NOWHERE. This sound is never played again in the song, but eventually, Siouxsie delights the listeners with the following:
Young lungs snapping coming up for air
the mindless ones yapping, slashing through the thoroughfare
one by one, one by one
oh one by one without a fucking care.
"Cities in Dust" — Which is about the destruction of Pompeii.
The Blue Sunshine collaboration album between Severin and Robert Smith has "Relax" a long ominous instrumental along with "Orgy" which has some disturbing lyrics.
The Creatures' output, ESPECIALLY Feast is filled with this.
Literally everything on Feast except for the more cheerful "Gecko" and playful "Miss The Girl" is extremely dark and eerie. It's filled with this Hawaii theme and thus feels like it's all in a dark, massive forest.
"Morning Dawning" with it's haunting, warped vocals.
"Inoa'Ole" begins with a Hawaiian vocal group singing and later becomes spliced with eerie snippets of Siouxsie.
"Ice House" which leads into "Dancing On Glass" forms a hypnotic, eerie suite of sorts.
"Strutting Rooster", which has lyrics taken from a possibly Hawaiian traditional song, sung very ominously by Siouxsie.
The experimental "Sky Train", very evocative of it's title, is filled with huge and fast percussion while the only lyrics are "Sky train / Rides again".
"Flesh" is all sorts of scary, despite the lyrics including "Piggy squeals and Horsey neighs": Siouxsie herself said its about snuff films, while the first section has a sample of people talking, evoking some sort of sinister party/celebration going on in a tent at a dark forest, accompanied by creepy spoken words from Siouxsie, until it changes into very frightening chants of the aforementioned, somewhat silly animal-related lyrics. While this seems to contradict Siouxsie's subject matter of snuff films, I always interpreted it as a bunch of vicious animals attacking people at again, a gathering in a tent.
The B-side of "Miss The Girl" is "Hot Springs In The Snow", an eerie and strange instrumental.
From Boomerang, "Manchild"'s subject matter of a young boy getting shot.
Anima Animus is filled with rather playful creepiness. Most of all, there's the brief closing track "Dont Go To Sleep Without Me", an extremely haunting and scary song led by just eerie acoustic guitar and vocals. Lyrics include: "Dont you go, and leave me here / With my heart, being crushed / Falling through, the spaces", etc.
The other scariest song is the electro-industrial "Exterminating Angel", with both bizarre and ominous lyrics like "I wanna f-ck it up, just for the hell of it", not to mention the constant inhaling backing voice through it all and the aggressive ending.
The apathetic and evil-sounding "Disconnected".
"Prettiest Thing" sounds a bit silly, but at the time same the spare percussion and creeping whispers at the beginning are rather eerie. "DIP IIIIIINNNN"