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Nightmare Fuel: The Wheel Of Time
Semirhage, undisputed master of torture. Back in the day, she so terrified her captors that they smuggled her to freedom themselves. Some of the atrocities committed by the other Forsaken and Darkfriends also qualify.
One of Rand's memories from being Lews Therin involved entering a city that had been attacked by the Shadow during the War of Power only to discover that everyone who had not sworn allegiance to the Dark One was tied up and thrown screaming into the fires that had been started at every crossroad.
The human breeding camps Balthamel set up to provide food for the man-eating Trollocs.
Slayer, a Professional Killer for the Shadow who specializes in people and wolves, and is composed of two identities: Isam Mandragoran and Lord Luc Mantear,
Hinderstap, the village of people who transform into bloodthirsty killers after sundown, and then kill everyone in the vicinity and then each other. And then they wake up alive again in their beds the next morning, remembering it as a vivid dream. And this happens every night, and they can't escape.
Apparently invoked deliberately. Word Of God is that Sanderson came up with the concept of Hinderstap after Jordan's widow requested he put something "creepy" into Gathering Storm to reflect the Dark One's increasing hold on reality. "Creepy" being the understatement of the year...
The scenes where Rand is going through the test at Rhuidean. Not because of the revelations themselves (which are Tear Jerkers, but because of the fact that the Aiel man who got there before him becomes increasingly overwhelmed and unhinged by the revelations, to the point where Rand eventually sees him clawing out his own eyes and chewing up his own tongue.
The scene where Aviendha sees the very possible future for the Aiel in Rhuidean: It consists of her children by Rand leading the Aiel into what becomes a very protracted war against the Seanchan, eventually getting beaten down, the White Tower itself falling to the Seanchan, the Aiel clans being either destroyed or reduced to shadows of their former selves, being pushed back into the Aiel Waste and still mercilessly hunted by the Seanchan, and finally reduced to a shattered vestige of their former culture, having totally losing their sense of honour and duty, and all but extinct as they scavenge whatever they can find off travellers in the waste.
There's some stiff competition, but Aginor might take the cake among the Forsaken. While the series doesn't go into too much detail, there are enough implications about the creation of the Shadowspawn to give anyone nightmares. Just one example is the Trollocs, which were made by crossing humans and animals somehow. To feed them, Aginor set up what were essentially giant concentration camps used to breed people to maintain a steady supply of human victims for the armies. Yikes.
The sinking village in Knife of Dreams. A perfectly innocent-looking village with a group of peaceful-looking folk. Completely harmless, right? Then Mat spots a huge inconsistency (namely, his implanted memories informing him that there haven't been roofs made like that in several hundred years) and realizes it's a dead village. Then it starts to sink into the ground, with the specters present continuing to act normally. Except that a peddler got caught there as it starts to sink, and Mat's group can only watch in horror as the man screams in terror and sinks with the village. Worst of all, this overlaps with Paranoia Fuel, as the entire group starts to wonder if the peaceful-looking field they next camp on will sink too.
Rand's battle with the Dark One. We see a world where everyone is a slave and Nynaeve is a Forsaken. Then we see a world with Light where everyone has no conscience. And finally, we see a world without Shadow. At first it looks like a utopia, but then Rand looks into Elayne's eyes and realizes just how wrong things are.