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Nightmare Fuel: Sonic Lost World
In a trailer, it appears as though the world is fading away, one shot briefly shows Amy holding the Miles Electric, just as she disappears... What kind of monstrous actions have you played with THIS TIME Eggman?!
Eggman's plot this time around is to use a machine that borrows energy from the planet to power his machines. However, once the Deadly Six escape his control, they use it to drain the life out of the planet and enhance their own abilities. While Amy isn't disappearing in that cutscene, she and Knuckles do eventually succumb to the effects of the machine further into the game...
Sonic attempts to save a bunch of animals trapped in a plummeting capsule in the opening cut-scene. He misses and then he and Tails are promptly distracted by their ship being shot down, completely forgetting about their animal friends.
The impact is somewhat lessened by the fact that Sonic Advance had capsules that dropped from the sky in addition to the fact that the dropped capsule will likely be the one in the first stage.
It is also confirmed to be the capsule in the first stage by the subsequent cutscene, with all of the animals being rescued just fine.
Then there's the rather violent quotes that refer to strangling, being skinned alive and even genocide. In a Sonic game!
Speaking of Eggman. Later in the game, he proposes an idea to Sonic about causing the Lost Hex to implode as a way of defeating the Deadly Six, basically saying he's willing to commit genocide just to kill his enemies. And the fact that he can so offhandedly suggest this in such a casual way paints the doctor in a whole new frightening light.
Pretty much everything about Zazz. He's feral, savage, always has a manic expression on his face and constantly on the verge of a nervous breakdown, revels in violence and destruction, makes sadistic and graphic threats during his fights, and the sheer sadistic glee with which he taunts Sonic and Eggman about their home being destroyed makes him arguably the scariest of the Deadly Six.
Zor's "death" of falling in lava, while horrifying, wouldn't really count as Nightmare Fuel as there's really no big send off. But the fact that he apparently welcomes it plants it firmly in this territory.