The Erich Zahn violin is absolutely terrifying. We never get any concrete information, but the snippets from its appraisal make it pretty clear why the appraiser almost vomited when he saw it:
The treatments that modify the material in this way are applied while its donor is still alive, and in excruciating pain. [...] The upper block appears to be carved from the body and lesser cornu of os hyoideum; the greater cornu is avulsed in a manner usually indicative of death by strangulation . . .
And if that wasn't bad enough, there's also Mo's nightmare early on in Codex, where a robed figure plays lullaby's to a baby in the Howard household on the Erich Zahn violin.
Bob: Think it's jealous?
It gets worse. In The Rhesus Chart, it turns out that it's a second-order vampire, wide awake and hungry, capable of partially controlling the actions of Agent CANDID, and it's now extremely pissed off at Agent HOWARD.
It gets WORSE. It's a fragment of an elder god, specifically the King in Yellow and using it to play certain pieces of music can summon the King fully from Lost Carcosa. And while Mo's might be neutralised, it wasn't the only one and some of them are unaccounted for.
From The Apocrypha of The Golden Promise Ministries (and really, just the Golden Promise Ministries as a whole):
"There's this stuff about binding converts... And stuff about making the unclean vine bear clean fruit whether it will or no."
The 'Ward of Nightmares' in the GPM compound too; not only are the women there permanently and completely paralysed, but they're forced to constantly produce children for the Ministry, unwittingly contributing to the end of the world.
In general, while the Laundry series offers no shortage of things 'from the bottom of the Mandelbrot set', most of the real nightmare fuel originates with humans. Sure, the many-angled ones will cheerfully suck your soul out through your ears and turn your hollowed-out carcass into a shambling zombie that does the same to anyone it touches — but that's just what they do. It takes humanity to aspire to true evil.
Equoid manages to make unicorns horrifying. Ia Shub-Niggurath ia!
A bit of Fridge Horror: Remember the half-dozen color-coded GOD GAME codewords from The Apocalypse Codex? The naming scheme implies that all color code words are just variations on one theme. So, the End of the World as We Know It is called CASE NIGHTMARE GREEN. Does that mean there are other predicted Apocalypses like CASE NIGHTMARE BLUE/RED/YELLOW on the way? How many kinds of screwed is humanity in this universe?
The world may soon find out; according to Word of God, The Nightmare Stacks is about what happens when the Laundry gets blindsided by CASE NIGHTMARE RED...