This is based on opinion. Please don't list it on a work's trope example list.
Nightmare Fuel / Small Favor
What the Denarians did to Ivy in Small Favor. Torture of adults is horrible enough, but to a child? Nicodemus may be Affably Evil, but he is still, at the core, a monster, and that scene solidifies it.
The most of the torture was actually done by Tessa and Rosanna. Not because Nicodemus and Deirdre had any problem with that, but because that way, if Ivy escaped them in any way, Tessa and her followers would have been her main target. Is this kind of cold calculation and forethought what's really scary about Nicodemus, far more than his power or main goals.
Let's not forget Marcone. They abducted him merely as a bait for Ivy, and then tortured him for days for the sake it, without having anything to gain. Yes, the Denarians are monsters.
The hob attack in the subway. Or more specifically, Harry mentioning that hobs don't just kill their victims, but like to drag them back into the Nevernever.
The description of what Harry feels like when he realizes he has been Mind Raped into forgetting about fire magic. It really brings home the horror of what it would be like to have someone rummaging around in your mind, even when it's after the fact.
Mab freezing the water in Harry's eyeballs is a pretty disturbing scene too. On one hand, she luckly doesn't go al the way through. On the other, the fact she does it just as a petty revenge is also a scary thought on its own.