All Flesh Must Be Eaten. Sure, the scenarios are designed to be one-shot and varied by the GM's plans... but they're pretty horrific. One sample flavor story is from the perspective of a scientist in a military base who's studying the zombie plague, and gets bitten. He describes what happens to him in graphic detail. Bad enough, sure, but another one has the zombie plague as an STD.
The Call of Cthulhu game, being based off HP Lovecraft's works of horror, has this as its core quality. The modern-era conspiracy thriller version of the game, Delta Green, is the same. It is a dark, depressing RPG book, and very well-written. Conspiracy theories, UFO lore, and the Mythos all rolled into one makes for a very bleak view of the present and near-future indeed.
The introductory fiction for the original Delta Green core rules is of a clean-up squad sent out to handle an incident of a retired Navy SEAL having gone insane and murdered his entire family. Why? Because he had a traumatic flashback to an old mission involving Deep Ones, triggered by the smell of his house's backed-up septic tank. That detail alone hammers home just how much the touch of the Mythos never goes away, even years later.
The entirety of anything inspired by the Cthulhu mythos is Nightmare Fuel. Even Cthulhu Tech. The good side: hey, we've got mecha! The bad side: it's still a world where there are games between ancient evils and we are so pitiable and worthless that all of them but Dagon (and maybe Nyarlathotep) don't even consider us worthwhile pawns. Even when we have Humongous Mecha. For additional persective, we've got giant robots, the Guyver, and everybody knows they're fighting for the survival of the species. We're still losing. And if Cthulhu wakes up, it's an automatic Game Over.
The game actually tries to remain canon to Lovecraftian Mythos standards, as well. From the spell "Bind Lycanthrope" (which removes their humanity over the course of several days) to the fact that the Rat-things turn out to be, at least in some cases, created from willing cultists and unwilling murder victims, The Mythos is designed around the entire concept of Nightmare Fuel.
Which makes sense, once you know that H.P. Lovecraft had horrible nightmares that inspired a lot of his work...
Dark Conspiracy, the old GDW game, is basically made of Nightmare Fuel. Never mind The Greys or The Fair Folk. No, take a Vrkolak, who is most likely based on the 1961 Mexican horror film The Brainiac, except that it doesn't kill you when it sucks your cerebrospinal fluid out of the base of your skull though its hollow forked tongue — it changes you into another of its own kind. And by that, we mean the computers made from the living brains of humans who cannot die, are fully conscious, and are totally aware of what is being done to and with them. That's just one of the more "PG" rated horrors.
Dead Inside. How would you like to lose your soul and become a gray, empty husk of a person? And that's not even the worst thing that can happen to you in this world. If you die while Dead Inside you become a zombie, lose what little emotion you had, and can never heal your soul, you're stuck like that for a long long time while you slowly rot away. And even worse then that is what happens if the last dregs of soul-stuff you have get lost or stolen, you become an Omnicidal ManiacQuippoth intent on eating the souls of everybody and everything and turning them into monsters as well.
The Deadlands roleplaying game. The setting is in 1876 America with a few major changes. The civil war has gone on for 14 years and the country is still divided into north and south with an uneasy truce. The men killed at the many great battlefields in the Civil War, like Shiloh and others, have risen as zombies and formed the Black Regiment. The world is suddenly infested with strange monsters that range from Bigfoot to pod-people replacements, one of whom happens to be Confederate President Jefferson Davis. But even that is not the worst: as it happens, it is all the result of something much worse. Four powerful demonic spirits are 'terrorforming' the earth by causing ungodly amounts of fear and paranoia in the populace that eventually makes the area an uninhabitable 'Deadland' filled with monsters and unnatural weirdness. Oh, and those spirits? They become the Four Horsemen of the Apocalypse.
Eclipse Phase. Anything and everything involving the Exsurgent Virus.
The German RPG Engel comes close, though. Unless you play it as a superhero/D&D hack-n-slay setting, which would totally kill the creepy.
The creepy only really sets in when you get the fact that the so-called 'angels' are actually brainwashed, nanomachine-infected children mostly aged 12-14 who were stolen from their parents and forcefully molded into androgynous 'angelic' figures meant to know nothing outside of service to their Himmel. And you know that age-range? Well, aside from the standards dangers of the world, there's a Papacy-sponsored reason as to why Engels never seem to get any older...
The GUMSHOE system's Esoterrorists setting has a sourcebook called the Book of Unremitting Horror. Thirty "creatures", each lovingly detailed with (hideous) artwork, (disturbing) agenda and modus operandi and (extremely creepy) fiction, usually in the form of diary entries, coroner's report or interview with a survivor. Not recommended for reading after dark.
The d20 version is worse. For the uninitiated, this is a book that features a creature called a "Snuff Golem," created from the psychic trauma of the victim of a snuff film. And the entries only get more disturbing from there, such as the creation ritual behind the Blossomer. For those who are horribly, morbidly curious: The Blossomer is a demonic entity that looks like a human being with nothing below the torso. That's because the Blossomer is made from a willing human cultist, who undergoes a transformative ritual to merge with the demon. That "transformative ritual"? His fellow cultists eat everything below the waist, in slow, piece-by-piece fashion. Oh, and the write-up is preceded by a fiction piece where two DIs interview a cultist who describes the thing in detail. This is probably one of the single most disturbing books on the page.
Fairy Meat. If you can't eat your friends, who can you eat?
The roleplaying game The Farm. You've been kidnapped and put into a prison camp, where after four days they butcher you and eat your corpse, all the while with faceless guards tormenting you in a variety of ways. Oh, and you can't trust anyone. It's like The PrisonermeetsHostel.
GURPS has produced some scary stuff. Nerlochs top the list: they're mindless superfast zombies that paralyze you (leaving all of your senses working perfectly) and then feed you to a monster that tears your body and soul apart while you're still completely functional. If you do happen to somehow survive, the trauma automatically drives you insane.
Infinity may not be known for its grim or dark setting but you need to consider a few things. First, most of the infrastructure of the Human Sphere is controlled by an AI. Second, an even more advanced AI is bent on conquering the Human Sphere. Their scouting forces are already equipped with weapons that can turn any human with a Cube into a Manchurian Agent, basic troops whose idea of diplomacy is all-out war, and shapeshifting assassins that are completely undetectable by any human technology. Now think what would happen when the Combined Army starts getting serious.
Kingdom Death is a game universe whose monsters are nightmarish mish mash of animal parts and human parts. The result look is something that wouldn't look out of place if Giger had dreamed them up.
The Swedish RPG KULT may well be one of the creepiest roleplaying games in existence. "Death is only the beginning", indeed. Roll Hellraiser and a twisted version of Gnosticism into one, add evil angels and insanity-induced mutation into monsters, and you understand why most KULT characters start out already fucked up. Or cursed.
Much of the artwork that comes in the newest edition of Lamentations Of The Flame Princess is purely intended to be Nightmare Fuel. The "oopsie" effects of the Summoning Spell are also quite chilling, especially the abstract entities with names like 'Collective Unconscious Desire for Suicide' and 'Lament of a Mother for her Dead Child.'
While most of the horror in Mortasheen is usually played for Black Comedy, even there are a few stand outs in terms of horrors. Allongside the Devilbirds, who's reason for being Nightmare Fuel is detailed in The Heartless, there is also the Lobotomask. Created when a mind overloads and destroys itself with its own Psychic Powers, it feeds on a person's thoughts, memories, and emotions, almost literally "lobotomizing" them. It is also near impossible to see or hear unless you are its intended victim, can pass through all conventional matter, and sees only in thoughts. Needless to say, you are fubared if it decides to come for you. And you can't warn anyone because you're now a drooling vegetable. The creator actually said he created it as the scariest creature he could think of if it actually existed in the real world. He succeeded admirably.
Of course, the fact that human life matters so little in the titular city, that humans are often treated by the many mutants and monsters that live there as test subjects, food and sometimes pets, might count as this. However, it is heavily subverted in that the humans of Mortasheen are rather nonchalant and lighthearted about it, seeing the attitude of "sometime's you're the eater, sometimes you're the eaten" as just the way it goes. Sometimes they actually volunteer for experiments for a chance at gaining more power.
Hell, almost everything in the setting could be considered this trope if it weren't all Played for Laughs.
Paranoia is known for playing horrible events for laughs, but the Straight style plays them straight by focusing on just how horrible they are. Thousands of citizens may be killed or mindwiped for nothing even vaguely resembling a good reason, and it's probably all the fault of the PCs. And because it's always "year 214", pretty much no one knows how long this has been going on, or how long it will keep going on; one pre-written adventure actually examines this question over the course of billions of years.
The best example of this is a Straight mission where the players are put in charge of a food factory showing record levels of production. Of course, this is a lie and the "food" is mostly empty boxes, but if the players were to expose it, then they'll be executed along with the rest of the staff. As a reward for their incredible production, the quota for that factory is increased. And so the players lie again about how much food is being produced, so their quota is increased again, and that factory's defective methods are imposed all over Alpha Complex. All fun and games, until the players realise that their actions are causing mass starvation, and that pretty soon the best possible solution will be to shove half the citizens of Alpha Complex into food processors to feed the rest.
And then there's MemoMax technology. Whenever someone dies, his clone picks up where he left off, having downloaded all his memories. Including how he died.
SLA Industries is practically made of the stuff. Start with an already Crapsack World in which more than 80% of the population in umemployed, and mental illness, serial murder and gang crime are at astronomical highs, but everything is owned by a somewhat malevolent corporation who want things to stay that way.
The war is so brutal and pointless that literally the only way for those fighting it to avoid coming to despise Earth is to die before they get that far. It's far from unlikely for a long enough campaign to end with the player characters seizing control of the Expeditionary Force, turning it around, and destroying or enslaving humanity.
Cyberpunk 2013 and 2020 had quite the nightmare fuel to pierce even the most jaded players.
Cybernetics Eat Your Soul if you're not careful. One supplement described people Hearing Voices from their audio system (think an Ipod implanted in your head). Another said he couldn't stand “those sacks of blood and water hemming him in”.
Made even worse for 'Borgs. Many full body conversions have a human brain as a plug-n-play Wetware CPU. They are like the Servitors of Warhammer 40K, but the brains can be put into another body. One conversion, the Dragoon, combines this trope with And I Must Scream. The cyberware and the drugs keep the thing (barely) controlled. It acts almost like a dumb robot. But your character can recover some humanity loss by moving into another body. Just now he/she has horrible nightmares and flashbacks from being was a 7 foot tall killing machine.