If the U.S. version of Sonic CD's Game Over music gave you nightmares, expect night terrors after hearing the Sonic.exe version of it accompanied with Sonic's gruesomely mutilated victims.
Said Game Over screen shows Tails, Knuckles, and Robotnik's severed heads on wooden stakes with their eyes ripped out. Special mention goes to Knuckles' body for being hung by his entrails.
Sonic's level in Version 5. You have to run through a static, empty void that turns into the seizure-inducing Giygas background with the persistent screaming of somebody being tortured throughout.
In An Ordinary Sonic 1 ROM Hack, when Sonic is warped into EXE's world, the only way out is to break item monitors. If you happen to reach the end of a level while in dark world mode, instead of the goal, you'll find him just laying on the floor, smirking. Even if you walk into him, he does nothing but stare through the fourth wall until his chase mode starts. Better hope the bastard doesn't get you into an unwinnable situation!
David Near's voiceover for Sonic.exe. He taunts you in one of the creepiest ways possible about how he'll catch you and make you suffer, and ends the video delivering his classic catchphrase followed by an unholy Evil Laugh.