The character Zalachenko ("Zala") with the burns inflicted by Lisbeth as a child; the make-up of the burns to his ear is severe Nightmare Fuel and can stay in your mind for days. Not to mention the beating-up part too.
The original Swedish movie, some very detailed rape scenes. The scenes in the American film are hardly any more delicate.
From the several hour long anal rape part, to what Martin Vanger actually did to his victims, to what happens to Lisbeth in the end of the second book... Creepy stuff.
The Girl with the Dragon Tattoo:
All the faux-religious murders and the recurring sexual abuse scenes. Then when Mikael discovers the full extent of Martin the killer's evil. The images of the girl victims, their skin gray and huge bug-eyes staring in terror, will stay with you.