How's this for kicks: at the end of "Day 3", Jack explains that in 1965, he handed over twelve orphaned children to the 456; when asked why, he says the exact same thing: "As a gift." He says it casually. With a shrug.
As drugs. It would almost have been easier if they were killed off.
The 456: "We have answered your question. You have one day to select and deliver the ten percent."
Frobisher: "And if we refuse?."
The 456: "We will wipe out your entire species."
The video of Gwen at the start of Day 5.
"Sometimes the Doctor must look at this planet and turn away in shame." That and the COMPUTER-GENERATED CROWD OF CHILDREN.
And later in that episode, the situation that's occurring in when she makes it. The British forces rounding up terrified children with their parents screaming and crying and desperately trying to get their children back. If that's not enough, knowing the fate worse than death set to befall the kids... Probably the darkest moment in the Doctor Who universe as a whole.
This is a very powerful series of episodes, and the real Nightmare Fuel was not the 456, or even the fate of the children, but the actions of the ordinary humans in the governments of the world, the rationalizations and the plots and the cold ruthlessness. The world might have been better off with Harold Saxon.
The worst is the horrible joking about how the child will "fry" by the guy monitoring the transmissions—and the mother's horrified realization of what they are about to do.
The end of Episode 4 is filled with this.
Notably there's the 456 choosing to "disconnect" with Clem, leaving him to effectively suffer a brain hemorrhage in Gwen's arms.
Also, when the 456 choose to gas the Thames House, we're treated to the sight of several people trying to bust out through the front doors in vain.
The scene in which the politicians discuss which children will be sent to the 456. It's not nightmarish like much of this miniseries, but this scene is definitely among the most unsettling television ever produced.