Please don't list this on a work's page as a trope. Examples can go on the work's YMMV tab.
Nightmare Fuel: Slayer
"Dead Skin Mask", a song inspired by murderer Ed Gein, can be quite unsettling, especially towards the end, as the lyrics are interspersed with the frightened cries of one of Gein's young victims. Reading about Ed Gein himself makes the song even creepier.
On that note, "Angel of Death" is a song about Josef Mengele, a Nazi "doctor" who performed awful experiments on people during the Holocaust. The song describes some of them in extremely graphic detail, making this possibly their most terrifying song for those who aren't used to their sort of music. And if the freaky Metal Scream heard at 25 seconds c.a. during the song didn't settle you off...
Also, "213" is about Jeffrey Dahmer (a serial murderer famed for copulating with corpses) and contains such delightful lyrics as "Erotic sensations tingle my spine/a dead body lying next to mine/Smooth blue-black lips/I start salivating as we kiss..."
"Unit 731" is about the eponymous Japanese unethical medical experiment group set up during the Second World War.
"Hell Awaits" The first minute of it has a Reversed-Demon-Chant of "JOIN US! JOIN US! JOIN US!" over and over again.
The special edition of World Painted Blood came with a short animated film called Playing With Dolls about a man who, as a child, witnesses the murder of his mother. When he becomes an adult, he becomes a serial killer who murders women, cuts them up, and stitches their body parts together to create a lookalike of his mother. Then his creation comes to life.