Please don't list this on a work's page as a trope. Examples can go on the work's YMMV tab.
Nightmare Fuel: The Laundry Series
The actual Atrocity Archive is a prime example; in general, anything which originated with the Nazis, and which is encountered in this context.
Club Zero. Amsterdam.
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!