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.
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!