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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 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.