Nightmare Fuel / Under the Skin

• The beach scene, in which a woman drowns trying to save the family dog, her husband is implied to drown trying to rescue her, and their young child is left alone on the beach, frightened and crying, while the alien and, later, the motorcyclist, completely ignore him. It's heavily implied that the child drowns in the rising tide, as well. The scene is made even scarier by the fact that this sort of thing could easily happen in real life.
• The aforementioned soundtrack.
• The fate of the alien's victims.
• The logger's Attempted Rape of the alien, and his later murder of her by setting her on fire. Made even worse by the implications that he's done this before.