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Nightmare Fuel: The Big O
R-D. There is nothing freakier than seeing what amounts to a clone of Dorothy(an emotionally subdued but otherwise nice girl), Slasher Smile and all, screaming maniacally at Roger just as she's about to put a bullet through him. If nothing else, that face...
Also a 'face scare' is Beck's horrifying visage in the dark in his last appearance within the manga.
Another is in the finale, with the eerily grinning and skeletal Big Venus.
Made even worse in one episode of the second season: While being repaired, we see the Big O without its faceplate. It has the exact same head as the Megadeus from that episode. In other words, that thing is what the Big O looks like under all that armor.
Roger asks as Schwartzvald is standing on it's shoulder, "Is that thing Big O's archetype?" It's surprisingly creepy for being a robot, the megadeus equivalent of a fast zombie.
Alan Gabriel's demise. YE GUILTY.
Big Venus. Basically resembling Big O but with its colors inverted and sporting a large grin, it has the ability to alter and manipulate memories and reality itself.