This is based on opinion. Please don't list it on a work's trope example list.
Nightmarefuel / Sly Cooper
This is not over Sly Cooper! I will kill you in your sleep!
From the second game, once you manage to shoot down Clock-La, you still have to destroy the hate chip. So, in order to do so, you have to open up Clock-La, revealing a purple holographic projection of Neyla's head, which is likely the only remains of her soul at this point, who threatens to kill you in your sleep.
From the first game, the Ms. Ruby level is pretty disturbing, filled with bad voodoo, the creepy looking guards, the giant monster thing that chases Sly through one of the levels, and the green river filled with severed body parts. Bentley lampshades everything.
I want to elaborate on this. The guards in her level fire blobs of pure black magic at you, shrinking your head!
The Contessa of the second game is a pretty nasty piece of work herself. She's a red-eyedspider-humanoid that has been playing Interpol so as to get the whereabouts of thieves' treasures via her "therapy". In her second level, we see her attempting to hypnotize a strapped-down Carmelita while saying that she will break her will.
Her prison level is unnerving as well with its Gothic architecture, red skies, creepy music, vicious-looking wolf and vulture guards, and the constant webs everywhere. Then there's the statues, which enemies will occasionally burst out of for a Jump Scare as they attack.
Toothpick, the second boss of Thieves in Time, has such moments because of how Ax-Crazy he is, such as carelessly shooting a guard (who instead just drops rather than vanishing into smoke) and turning into an even more deformed-looking monster when stressed. Basically, just picture Ren Hoek as a Sly Cooper character and you'll get the general idea.
Also from Thieves in Time, the flashlight guards from "Of Mice and Mechs". They wouldn't be so bad if it weren't for their creepy, mechanical voices. The first mission actually involves having to listen to their conversations with each other.
Clockwerk himself is absolutely terrifying. To elaborate, imagine a being (a huge owl, to be specific) who has spent years replacing his body with robotic parts just so he can be immortal. And why does he want to be immortal? A fear of death? Nope. A God Complex? Not even close. The only thing that fuels Clockwerk's desire to live forever is that he absolutely hates the Cooper family and wants nothing more than to see them utterly wiped out. Imagine someone that hates not only you, but your entire family so much, that he is willing to turn himself into an immortal robot fueled by pure rage (IE: The "Hate Chip") just to kill you.
And the Italian dub gives him a voice like Harbinger.
According to Thieves in Time, Clockwerk has been alive much, much longer than we previously thought. If the game's easter eggs are canon, then he has been alive since at least the ice age.
And more on those easter eggs: in pretty much every level of Thieves in Time, you can find Clockwerk perched somewhere in the scenery, just watching you. When you remember that his goal was to wipe out the Coopers...Bottom line: you may have been playing as Sly's ancestors only a short time before their deaths.
However his dialogue in the first game seems to indicate that every attempt to face a Cooper has been met with failure, further fueling his hatred. The only thing that failed in the death of Sly's Father was Clockwerk not killing Sly himself before he grew to be old enough to continue on the Family's legacy. Which he only did because he wanted to prove that without the Thievius Raccoonus, Sly would not be able to live up to the Cooper's legendary skills. In short, it's not his success that makes him horrifying; it's the fact that he's been trying for centuries, even millennia to wipe out the bloodline, and was dangerously close to ending it each time but ultimately underestimating them each time.
Considering how seemingly thorough Clockwerk is, one would think he would have been able to extinguish the Cooper line already, seeing as how all he'd need to do is kill off all current living ones. Sure, they hid from him, but they can't have ALL evaded him entirely. It's possible that he simply allowed them to breed a new generation, then killed off the elder ones. He doesn't want to eliminate the Cooper lineage, he just wants to personally execute every Cooper, for eternity.
During the intro when Sly mentions Clockwerk, for a moment it's not Sly the thief talking, it's Sly the child from over a decade ago, who is clearly still living in fear of a demonic steel bird.
Also in the end of the final battle, as he's trapped in the lava and incapacitated just long enough for Sly to land the finishing barrage of blows on his head, he begins saying random strings of code, numbers, and throwing out electric arcs and laser grids in a last-ditch attempt in his fading electronic brain to defeat you, but in the very end, his head turns 180 degrees to stare right at you- fitting for both a robot and an owl but nightmare-inducing nonetheless- and with his sanity snapping back one last time he vows to Sly that he will never be rid of him, and he will always come back, as you wail away on his head, sending huge chunks of it including his right eye flying, until you knock his head off and send it sailing into the lava. Although by Sly 2 it turns out that these were pretty much Blatant Lies, as the Hate Chip that fuels him is destroyed, rendering him unable to come back.
Back to the first game, there's the Beast. His appearance Both of them is a major Jump Scare. His appearance is that of a large, multi-colored, Uncanny Valley snake. And the worst part? His appearance occurs when the camera is aimed in the opposite direction, with only the sound of breaking stone to tell you the monster is right behind you. The section also has clue bottles, meaning it's entirely possible to not notice him until it's too late.
The build-up to that level is pretty bad too. Sly pulls up his binocu-com and observes the elaborate front door, while this exchange happens:
Bentley: "What's with that large, industrial-strength voodoo gate?…Mz Ruby must really be trying to keep something out!"
Sly: "Or maybe…she's trying to keep something in."
Bentley: "Whoa. Did you see those reeds move?…There's something huge down there! You'd better get going!"
There are zero guards in the level, and the only enemies other than the Beast itself are spiders and such. A well-done example of Nothing Is Scarier.
Alternative Title(s):Sly Cooper And The Thievius Raccoonus, Sly 2 Band Of Thieves, Sly 3 Honor Among Thieves, Sly Cooper Thieves In Time