This is based on opinion. Please don't list it on a work's trope example list.
Nightmare Fuel / The Sopranos
Tony's dreams, notably in "Funhouse" and "Calling All Cars". "The Test Dream" is generally more comical, but has its moments.
Livia's memorial, in which we (the audience, not the characters) see Pussy's ghost reflected in a mirror and a mysterious figure in a dark suit who vaguely looks like a young uncle Junior slowly walking up and down the stairs. In a show as realistic as this, that touch of supernatural is very unsettling.
Most of the mobsters are disturbingly violent and ruthless in running their business. Paulie Walnuts, Feech La Manna, and Johnny Boy are examples. Especially Johnny Boy, who was pretty damn creepy when he was angry.
Speaking of Johnny Boy, there's Tony's flashback to when he was a kid, watching his dad Johnny cut off Mr. Satriale's finger with a butcher knife for failing to pay a gambling debt.
Richie Aprile was creepy in himself. He brutally paralyzed a man with a big smile.
Almost everything about Ralph Cifaretto. Including the surreal sequence surrounding his death..
"Pine Barrens" has some eerie shots of the vast, quiet landscape. This, combined with the ambiguity of the Russian's fate and Christopher's realization that Paulie would kill him under the right circumstances, makes for a haunting and unsettling episode.
The onset of Junior's dementia, while prime fodder for absurd comedy, is also a bleakly disturbing source of Adult Fear. Most notably in the episode "Where's Johnny?", in which he wanders lost through Newark in his bathrobe searching for his dead brother.
The show's various whackings, while a major selling point of the series, are never portrayed as anything less than horrific. Notable examples include:
Brendan Filone's Moe Greene special. The kill itself is a Gory Discretion Shot, but later we see an unflinching close-up of his empty socket.
Matthew Bevilaqua crying, begging for "Mommy" and pissing himself before Tony and Big Pussy shoot him over twenty times. Made even worse by the false Hope Spot Tony had sadistically orchestrated. The following episode shows that even Tony himself was unnerved by this.
Tracee's death is possibly one of the most disturbing murders in the entire series. Let's just say that, yes, it is possible to punch someone to death. Especially when there's a convenient highway railing around for you to slam their head into.
The killing of Jackie Aprile Jr. is incredibly abrupt, understated, and bleak.
Tony's argument with Ralph Cifaretto that escalates into a brutal fight to the death, and the ensuing disposal of Ralph's body, in which his head and hands are removed. All this just after Ralph's son was hospitalized.
Adriana's death. Silvio drives her to the forest and casually talks with her about Chris. Then Silvio reveals his true intentions, pushing her to the ground and ruthlessly executing her with a single shot.
Tony Blundetto's death, and the gory close-up of his buckshot-ravaged face.
Vito Spatafore is beaten to death, then has a pool cue pushed into his anus. His wife describes him as no longer looking like a human being.
Tony's compulsive murder of Christopher. After the two narrowly survive a car crash, Tony pinches Chris' big nose, causing him to choke on his own blood.
Paulie's vision of the Virgin Mary suddenly appearing in the Bada Bing definitely qualifies. You also see her in the mirror right before, which is enough to unnerve you (if you spot it). Right after that, BAM! floating Virgin Mary on stage.
After Junior shoots Tony, he spends the next few episodes in a comatose state, while experiencing some unsettling dreams and nightmares.