This is based on opinion. Please don't list it on a work's trope example list.
Nightmare Fuel / The Darkness
The first time you hear The Darkness unexpectedly start talking to you in what, up to that point, seemed for all intents and purposes like a mob shooter game.
The one love of your life getting her head splattered onto the floor in front of you while The Darkness holds you helpless at the window to watch.
Even worse is the Darkness's declaration before the aforementioned scene, in which it essentially treats Jenny's death as a foregone conclusion even as you're still struggling to find your way to her:
The Darkness: Too late, Jackie. Love DIES.
"Aw... what did they do, Jackie? What did they do to Jenny?" evil giggle
The patchwork World War I soldiers in the Hell levels. The sad, stoic way most of them stood around, seeming to understand and accept their fates. Except for the few who had gone completely mad muttering insanities to themselves and you. It gets even worse when you think about how you'd probably need three or four soldiers from the actual war to have enough pieces left over to make just one of these guys.
The German things in the Hell levels. Not quite human, not quite animal, not quite demon, just...not right.
Everything about the Hell levels is intended to be twisted only just far enough from normal, into Nightmare Fuel territory, to crawl right up your spine and into your hindbrain and sit there waiting for you to recognize something familiar, only to realize there is something horribly wrong with it.
The Hills section of the Hell levels in particular. Among other things, you have to deal with shots coming from seemingly nowhere, the seemingly endless advance of the German things. Oh, and the random flashes of lightning that randomly displace you, usually with three or four of the Germans right behind you. Add to this the endless mist that obscures everything beyond five yards or so.
All of the Hell levels were pretty bad, but the image of the starving horse as Famine is one of the worst.
The Horsemen of Apocalypse in Hell count. Pestilence is a bird-masked man tied to two flags making an X; if you approach him, he'll SCREECH out of the blue and harm you. Famine is a starving horse feeding on hearts. War is a gigantic war-cannon train.
Mike Patton voicing The Darkness being Crazy Awesome and Nightmare Fuel at the same time. The fact that he did the performance without any post-processing makes it all the more eerie to imagine a person could actually sound like that.
His voice varies from a demonic claws-on-blackboard screech to satanic rumbling to a raspy whisper to thick tarlike bubbling, usually transitioning between one word and another in the same sentence and nothing he says isn't creepy in some way.
Hell, even Richard "Raz, Daggett, and Zim" Horvitz manages to be creepy as hell as the Berserker Darkling.
In the second game, you have to painfully pull yourself out of an Iron Maiden. The sounds Jackie makes... Oh, God.
The descriptions of some of the artifacts Jackie can find in the second game by Johnny Powell are descriptions of nightmare fuel occurring in the past, thanks to the Darkness, the Angelus, and the Brotherhood. Two of the worst are saved for tortures subjected on a Darkness host by the Brotherhood, including an iron strip that pierced the host's tongue and snapped his jaw.
Johnny: The Brotherhood had raised him as one of their own! So imagine, if you will, the only family you've ever had, subjecting you to merciless and unrelenting torture, and they won't even tell you why! ... The hell of it is, this was only the first of Twelve Tortures. The Darkness didn't manifest itself until the fourth. Which means the Brotherhood weren't even sure that they had the right guy! And that fact didn't even slow them down! These are bad, bad people Jackie. And they have it in them to be a whole lot worse!
For reference, the artifact that Johnny talks about in the above quote, the Blinding Sun, is basically a pear of anguish, a real life torture device.
The Angelus has a few moments in the relic backstories, too.
Roanoke's Bane: When the Darkness first came to America via one of the settlers at Roanoke, the Angelus possessed a Croatoan maiden and killed everyone there during the night - and still failed to kill the Darkness's host, who was away getting supplies. When Darkness and host had returned, the Angelus had already gone, leaving the village defenseless against the Darkness.
Ashes of the Unnamed: When the Brotherhood first managed to capture the Darkness in the Siphon, it returned the favor by turning them into what they are now. However, one of the brothers couldn't be turned, and chose to act against the Brotherhood by freeing the Darkness. This pissed off the Angelus so much that it absolutely destroyed him, body and soul.
Prism of the Brothers: The artifact that the Brotherhood supposedly used to capture the Angelus. However, when Jackie shows it to Johnny in the present day, he can't sense anything in it. So where is the Angelus now? By the end of the game, Jackie finds out - the hard way.