"Hell Broke Luce" from the new album Bad As Me.War Is Hell does not begin to describe it.
"God's Away on Business" and "Army Ants". From the names alone, guess how frightening they are.
"Dog Door", which doesn't have a particularly disturbing title. Even apart from the lyrics, there's the simple fact that they're performed by Tom Waits, who could sing "Happy Birthday" and have it sound like a death threat.
This is parodied by Bill Bailey in his interpretation of how Tom Waits would perform the nursery rhyme "Three Blind Mice": "Blood on the cheese! / Little mousey running for his life / You goin' t'Hell / In a mousetrap..." Which is itself a bit Nightmare Fuelish, if you think about it.
"Underground". This was the tune playing in Madame Gasket's chop shop in Robots. There used to be a real good video of the song synced to seens involving Lockdown from Transformers Animated... and it is scary.
Tom Waits has lots of songs with disturbing lyrics, but the really impressive feat is his ability to scare you just with instrumentals. And I'm not talking about songs with sudden Scare Chords and the like—-Tom Waits will scare you with quiet instrumental music. Listen to "Black Box Theme" or "Oily Night" from The Black Rider and see how well you sleep. "Knife Chase" gives can give you start as well.
"Children's Story" is creepy as well. "Once upon a time there was a poor child, with no father and no mother... And everything was dead... And no one was left in the whole world..." The thing about this one is that it's simultaneously very scary and very, very sad.