This is based on opinion. Please don't list it on a work's trope example list.
Nightmare Fuel / The Crow
A lot of scenes, especially some of Eric's more surreal grief scenes (horse + barbed wire) and his self-mutilation.
After Eric is shot in the head a second time, drops to the ground. Still alive, he is facing Shelly as she cries his name, is raped, shot in the head and raped some more, (yes, in that order) unable to move or even close his eyes while the crow tells him "Don't look, Eric! Don't look!"
Quite a few of the vigilante murder scenes, especially Tom Tom's (who has the lower parts of his legs sliced off by a samurai sword and slowly bleeds to death).
The final showdown with T-Bird and his dozen or so gangland allies. Eric, now stripped to the waist, dares them all to shoot him. They do, and the single-panel splash image of Eric's naked torso being perforated by what look like hundreds of bullets is about as horrifying as it gets. But there's more: Eric then embarks on the conclusion of his Roaring Rampage of Revenge, slaughtering one thug after another in an almost effortless spree of carnage. The Final Boy, having hung back until the very end, finally steps right up to Eric, shoots him point-blank in the skull (splattering blood all over Eric's face), and sneers: "Walk away from that, motherfucker." Not only does the shot not kill Eric, but he promptly makes the last guy pay by shoving him face-first into a brick wall with superhuman effort, instantly turning the guy's head into something resembling a ketchup-slathered omelette. Then Eric licks all the blood off his face.
The blood-curdling scene in which Eric places his palm over the barrel of Fun Boy's gun and dares him to pull the trigger. Fun Boy does so, and Eric at first pretends to scream in pain. But then he pulls away, the bloody hole in his hand starts to spontaneously close up, and Eric starts up a wicked laugh that builds in intensity until it is high-pitched, screechy, and wild. That's when Fun Boy finally realizes that he's fucked.
Brandon Lee as Eric Draven. Most of his movies prior to this play him as a skilled martial artist, yet with a laid back comedic personality. This movie on the other hand shows him Playing Against Type and not only is it successful, it is scary. The fact that he died in the making of this movie makes his performance more haunting.
A real meta example for Michael Massee, the actor who played Funboy. He pulled the trigger during the accidental death of Brandon Lee. He has said in interviews that he still has nightmares 20 years later.
City of Angels:
"Hush little baby, please don't cry... Kali's gonna give you eternal life!" Easily the most chilling scene Thuy Trang of Power Rangers fame has ever done.