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Nightmare Fuel: Touhou
Gensokyo is host to over a hundred assorted Cute Monster Girls who can potentially toss as many bullets at you. However, even though being surrounded by such a massive amount of girls doesn't mean Gensokyo is a hospitable place of marzipan and kittens. The aforementioned amounts of bullets thrown at you, the possibility of death, the potential of some of these monster girls, and the very real possibility that Yukari just might pop in one day and spirit you away are just some of the many horrors that await you in the rural world that is Gensokyo...
And then there is the Monster Clown that seems to be behind all of it. The last part seems to imply that the clown is the girl Reimu sees in the end. And it's implied that the Monster Clown is Alice Margatroid.
Pretty much everything about Highly Responsive to Prayers was highly unsettling. Especially Sariel and Konngara. Looking carefully at Konngara, what appears to be blood is dripping from the base of her "horn". It's likely a spike driven through her head. While Sariel looks like a beautiful angel, she's actually an angel of death. The background goes through changes throughout the battle of her first form, and in one of them you can see a bunch of hands rising out of the ground. You can't even clearly make out her second form. You can see the outline of her body, but the rest is a giant void. To further drive the point home, there is no dialogue, and there just is ''something'' about the dark atmosphere in the entire game.
Yuuka Kazami. Full stop. It gets worse when you realize that the description "youkai moe~" is a pun on Yuuka being a flower youkai ("moe~" means "budding") ... her real personality is evident from her route in Phantasmagoria Of Flower View and it is not pleasant.
One of Yuuka's lines in her scenario in Mystic Square is "Genocide is just another game." Whether she is actually serious or merely trolling is up to debate.
In Lotus Land Story, Yuuka also states to Reimu that "In a few hours, you'll become a mist of atoms. ♥", she does admit she won't, but does it by saying "I thought it'd be neat if that actually happened. ♥ ". Yuuka thinks someone reduceing to atoms is 'neat'.
The very being of the Saigyou Ayakashi.
The inside of Yukari's gaps contain countless unblinking eyes and arms trying to claw their way out.
There's actually a bit of Fridge Horror regarding Remilia and Flandre Scarlet. If you read through Remilia's profile, it states that Remilia can't create more vampires because she doesn't have the appetite to drain all of a person's blood, confirming that (at least in this canon) vampires need to feed on a victim to turn them. Combine this with the fact that Remilia is stated to appear as a child, and Flandre is a whole five years younger than her. Some vampire out there nommed on two little girls who were probably somewhere around 5-10 years old!
It's said that the reason Reisen's eyes appear red is because the mind of the person observing them is receding, fast.
Medicine Melancholy, full stop. Sure, she's just a sentient doll, but her genocidal ramblings, her thoughts of pure hatred against humans, and how she has no qualms in testing the effects of her dangerous poison on them or killing whoever steps into her territory drive her straight into this category.
The Scarlet Devil Mansion. According to game manuals, it's much larger on the inside, monochrome, and very dark. It would be very easy for someone to get lost. Also, if you fell down a hole (which apparently exist in there, according to manuals), no one would hear you, and you would most likely be stuck there until you died of starvation or thirst.
Yukari herself. She's so otherworldly that almost every other character finds her mere presence unsettling.
Kisume has been revealed to chop off heads and hide them in her bucket, and the head you see might not be her own. But the real creepy part is that she seems completely unaware of her actions.
Another example from the same chapter. Yukari is a youkai, but one that is dedicated to maintaining the balance between humans and youkai in Gensokyo. Since humans are vastly outmatched and outnumbered, she's more likely to side with us, right? Wrong. Yukari admits to Kasen that she only keeps an eye on humans and manipulates events in the their favour because it makes them easier to corral and hunt. And this chapter deals specifically with Yukari sending her youkai spies to the Outside world for a short while...
Yukari: "Gensokyo's getting enough food to fill the stomachs of all its youkai from somewhere."
Enera from Forbidden Scrollery. A kind of Super Smoke youkai with huge Glowing Eyes of Doom that haunts various houses and if it isn't noticed by the house residents then the house will really burn down. And if it fails to burn down a house it then jumps on to the next closest victim making it hard to corner. Just the way the thing is presented make it even creepier.
We get to see what Remilia's new pet is in Chapter Seven of Forbidden Scrollery. It is beautiful.
In case anyone is wondering, it's a Chupacabra. Yeah...
The fate of Maribel Hearn between Trojan Green Asteroid and Neo-traditionalism of Japan. What could have happened to her that resulted in her being consigned to a mental asylum? Randolph Carter would love to have an extra-strong drink or two with her.
Rumia. One of the few youkai that are actually known to eat humans. And since she doesn't have any ability that allows swift and painless kills, her preys are most likely eaten alive, or butchered in a horrible and bloody way.
Part of the plot of Double Dealing Character is that the protagonists' signature weapons (Reimu's gohei, Marisa's Mini-Hakkero, Sakuya's knives) have gone corrupted. If you choose to your character's weapon, she gradually becomes a twisted, Ax-Crazy version of herself.
A good amount of fanworks tend to portray Gensokyo as a nightmarish place, despite the fact that all the demons and monsters are cute girls more interested in games and parties than anything else. The "Test in Touhou" videos are primeexamples of this.
It is somewhat common for fans to depict Yuuka and Flandre as destructive, maniacal monsters. While others go in the opposite direction with "youkai moe~" and Cheerful Child depictions respectively, it says something about their status when any image of them giving a hug on Danbooru is met with many comments along the lines of "OH GOD NO!!".
The fan-made music PV "Josei no Qualia ~ Subterranean Rose," created by Innocent Key (censored or uncensored, take your pick), is a classic example of such a Seinen depiction. Sure, we love Koishi's alternate outfit that she wears on there with the Detached Sleeves and stuff, but the fact that she chains Marisa to a cross, rips off her clothes through Clothing Damage, and sometimes gets a downright insane look on her face when she attacks Alice and Patchy, not to mention giving off a Slasher Smile, is pretty freaky. Not only that, she also cuts a stuffed teddy bear open in the beginning of the PV, and at the end, while Satori comforts an unconscious Koishi after she has been knocked out by Marisa's MASTER SPAAAARRRRKKKKK!, we see Koishi eerily opening her eyes in a creepy way just as the PV ends.
Even worse, look at the background around 42 seconds in during the establishing shot of Marisa on the cross. Apparently Satori watched the whole thing and did nothing to stop it!
Border of Extacy. One can just imagine the horrors of being. It's so terrifying it comes in three flavors: Censored 18+, Uncensored 18+ and Short (which is HEAVILY censored but still TOO DAMN CREEPY).