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Nightmare Fuel: The Sandman
The Sandman has a lot of deliberate nightmare fuel. Several of its characters are nightmares, and several stories are set in nightmares - and the bits involving real people in the real world can be even worse.
The Sandman #6, "24 Hours", by Neil Gaiman. John Dee, aka Doctor Destiny, was a somewhat campy Justice League supervillain who controlled people's dreams and emotions with a special ruby, but he dropped off the radar for about five years in the '80s. When Gaiman revisited the character, we learned that his dream-powers had robbed him of his own ability to sleep, and he had withered away into a shrivelled wretch. He spends the first five issues getting out of Arkham Asylum through no effort of his own and wandering around being creepy but not nightmare-inducingly so. But then he gets his old ruby out of storage. He walks into a diner - after casually murdering the woman who gave him a ride - and proceeds to use his powers again, bringing out the negative emotions of the six people in the diner with him. It starts with simple aggression and proceeds to graphically-depicted physical violence and willing torture, with the six eventually murdering each other for Dee's pleasure. Dee eventually starts manipulating everyone in the world the same way, but this is actually less horrific because it isn't shown directly. (We do see a kid's show recommending that the viewers all slit their wrists... along the arteries, to make it impossible for them to be bandaged up. Luckily, we don't see any kids actually do this.). It's not at all different in concept from the kind of things supervillains do in regular comics, but the way it was drawn so graphically.
Nightmare fuel involving actual nightmares: Morpheus's 'Eternal Waking' curse from early on in the series, which condemned a man to be trapped in his own dreams - constantly dreaming that he'd just woken up from a nightmare, only to have the 'reality' he'd woken into rapidly turn into another nightmare, from which he would 'wake up' again, only for it to dissolve into horror and nightmare again, and so on and on. Forever. He gets better after five years when Dream dies.
Pretty much anything dealing with the Corinthian especially his first version. The concept of him being a nightmare personified, the sounds he makes when he eats things with his other mouths, he is literally this trope personified.
The serial-killers' convention in The Doll's House. TheCorinthian. Five words: "We're going to take turns."
Some of the other serial killers are also notable. Fun Land, the serial killer who lurks in amusement parks so he can target children, and who shows up to the convention wearing a Not-Mickey Mouse hat.note And guess who shows up as a cameo in "The Widening Gyre" Batman miniseries? He was out there, all that time, still killing. The Doctor, who makes leather ties from human skin...
The deformities of the demons, particularly Mazikeen, who has half her face perpetually melted off.
Season of Mists. The entire thing with the Boarding School Of The Damned. Childhood abandonment issues and problems with school settings, back to play. All standard fair until the dead start coming back to life, speifically the three older students from World War One, discussing how life isn't fair - and how they did the whole Satanic-rite thing, killed another student and drank the blood and everything, and when they died, Hell didn't care.That and the last panel with them in it in that story, with just the legs.
The horrific cannibal zombie baby in The Doll's House.
Ruby's dead body in Brief Lives. Goes into Tear Jerker territory when you read that this girl had goals.
The worst part of Brief Lives is the flash back to the plague. A man's entire family is dead around him from the black death, he's trapped inside his house because the neighbors nailed the door shut while they where still in it. He's passed out drunk (what else to do it that situation), and everyone thinks he's dead.
"He would come to his senses in the early hours of the next morning, in the plague pit, with soft earth on his face, and cold flesh beneath him, and believe himself in hell".
Again, Brief Lives. Delirium, after being pulled over by a cop for driving... well, deliriously, decides to punish him, saying: "I think you'll have invisible insects all over you now for all your life and for ever and always." Which then happens. We later see the same man in an insane asylum, clenching his eyes and mouth closed for fear of invisible bugs walking over his eyeballs or slithering into his mouth. Of course his nostrils are still fair game. The worst part? Delirium states outright that Dream has done "…lots worse than that. Anyway. Lots and lots and lots and lots and lots."
Boss Smiley from the Prez Rickard story in Worlds' End. The first few times we see him, he's a guy in a suit with a round face shaped like a smiley badge. When we see him on his own turf, his face actually is an enormous smiley badge. It's a toss-up which is creepier.
Loki's eventual fate. It's bad enough that he had already been tied to a rock with his own son's entrails and had a snake drip poison on his face, but after he escapes, he gets his neck snapped and his eyes put by the Corinthian. Being a god, this doesn't kill him. When Odin and Thor find him, they tie him back on to the rock, still with his snapped neck and lack of eyes, and the snake carries on dripping poison on his face. Into his empty eye sockets.
A few issues have Nightmare Fuel tailored for transgendered people. In A Game of You, for instance, Wanda's nightmare about being forced into surgery. Or in A Doll's House, the page about a serial killer who targets pre-op transsexuals because they make him "uncomfortable."
The three ladies in their most vengeful form, particularly on the last panel of #63.
When Delirium talks to Mazikeen, the demon with the half melted face who is utterly devoted to Lucifer. After she refuses to help Delirium, Delirium says that she will make Mazikeen an ugly demon who is hopelessly devoted to her boss, and then make it so that's what she always was. This always get to me because that is who that character was every time we saw her. So did Delirium retcon this character into what she now is? Completely destroy her identity, both in comic and out?
Abel's fate of being repeatedly murdered by Cain for ages and ages. At one point we get a description of him coming back to life with his spine still broken after Kain threw him out of the window for some perceived offense. And that doesn't even get close to the sausages scene...
Also true from Cain's perspective - he doesn't want to kill Abel anymore, and in his own way loves his brother very much. It's a pity that You Can't Fight Fate.