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.
"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.
"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.
"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.