This is based on opinion. Please don't list it on a work's trope example list.
Nightmare Fuel / Warhammer
Let's consider the Skaven. They are generally played for laughs - let's face it, this is an entire race of Rat-faced Starscreams, how could that not be funny? Then you read the army book. Specifically, Hieronymous Bouscus screaming, over images of the utter abhorrence that is the Skaven city. One of their major clans will gleefully rip your brain out and stick it in a giant rat-horror For the Evulz. Another one considers Kill It with Fire, Kill It With Lightning, and Kill It With Poisonous Gas entirely sensible ways of dealing with everything, not caring if their own troops are caught in the blast. And then there's the pure shit-yourself-in-terror story of how the Skaven came to be...
There's also their attitude towards friendly fire. In game, it's forbidden to shoot into melee, because you don't want to hit your own troops. Skaven, IIRC, have a special rule called "Life Is Cheap", saying that you not only can, you should shoot into melee and fry your own troops, since that's the best way to slaughter the enemy, and damn your own troops.
The Skaven have reserves. They also have psychotic decaying monks, lightning cannons, poison gas grenades, mutant rat-monsters, and silent ninja that come in the night and nail you to the bed with a warpstone-coated sword, ensuring that in the unlikely event you survive, you'll transmute into a horrific monster.
It's strongly hinted that the Skaven instinctively wage perpetual war and throw their lives away because they breed like... well, rats. Their two choices are grinding away their population in war or having a population explosion and dying of starvation.
Clan Moulder's hat is creating monstrous creatures: they mutate ogres into part rat and part ogre; worse yet is the hell pit abomination, a gigantic monster with multiple rat heads, and the rest of its body is made of... well, there are these huge creatures called blindworms crawling around the same tunnels as the Skaven; a group of Skaven and a small army of their slaves went out one day, the survivors pulled one of these things back, and they put whatever parts of the damn thing they could into the abomination. The damn thing makes the regular chaos spawn look pleasant, that tells you how terrifying that thing is.
Let's talk Skaven, shall we? Long ago, the foolish ruler of a city-state called upon their aid then refused to pay them. In retaliation, the Skaven attacked and took their payment. The city itself was mostly intact, but the Ratmen took every single one of their children...
Lets not forget the supposed origin story of the Skaven. It's pretty horrific too. A peaceful town where humans live above ground and dwarves below in harmony decides to build a great cathedral. It takes many years, and they almost despair until a mysterious stranger offers to complete the tower in a single night if he is allowed to dedicate it to the gods. The townspeople agree and the tower is built with a great horned bell. The Bell tolls 13 times. Darkness floods the streets over the next few days. Warpstone falls from the sky in a horrific hail. Humans and dwarves turn against one another as deaths and violence escalate. After months, the humans force their way into the dwarven side of the city to demand aid, and only find gnawed bones, ruins, and thousands of bloodthirsty ratmen. The humans were annihilated that night.
And the Skaven Empire covers most of the globe.
The Lizardmen. Go ahead, laugh. We'll see you laugh when they sacrifice you, Aztec style, to their god of blood. And your family. And your friends. And, if you're Skaven (because they really hate you), masses of your race at a time. Not enough? They couldn't care less about you, or anything outside of Lustria. They even have a rule that details how they don't give a shit, because that's how they are. And these are among the good guys. Admittedly, it is pretty easy to avoid this fate by not going into their hellish jungle homes and screwing with their stuff and trying to steal their gold. There have been several instances of humans going into Lizardman territory and coming out alive and rich because they had the sense not to piss them off. The Conquistador expys on the other hand did not fare well. Not that they care about the gold, but they write on gold tablets, and care about what's written on them very much.
Dampening the horror a bit is the fact that as long as you are not on their "to kill list" (Chaos, Skaven, Dark Elves), they ignore you as long as you don't provoke them (most non Skaven sacrifices are due to provocation). Adding to it is how they can do horrific acts of brutality and genocide (namely to things that pretty much deserve it) yet their minds are literately hard-wired to be incapable of feeling malice, more machine than man.
And Chaos. It's just as horrific as it is in 40K, except that now, they have armies of goat-headed psychopaths lurking in the forests. Let's not forget that at least some of those goat-headed psychopaths are born of human parents...
Warhammer had the particular nasty idea of introducing the turnskins, regular humans that mutate into these things well into their lives for no apparent reasons. To have your entire family and friends turning against you, and even if you manage to survive and join the other beastmen all they'll do is to turn you into a slave...
The random mutations can be quite chilling: you teeth stick out of your skin, lose two eyes and get a new one eye which only sees the winds of chaos, or transform into a mindless mass of gibbering flesh.
And of course then there's the Dark Elves, who are entirely dedicated to conquest and slaughter in the name of Khaine (with the occasional Slannesh worship thrown in). Except for their king, any male sorcerers are killed or cursed to be eaten by Slaanesh, which can only be prolonged by sacrificing others. Women have to go through extreme trials where those who fail either die, get taken by daemons or become mindless slaves. Their main sources of income are slavery and pillaging, and the two are often connected. They don't even value the lives of their slaves for pragmatic reasons, unless they're skilled or "favoured", and if too many die they just go on a raid to capture some more.
Every year they have the Night of Murder, where the Brides of Khaine (the Ax-Crazy Witch Elves) walk to the streets sacrificing anyone they find on the Altar of Khaine until the streets are said to run with blood. Worse, they steal babies on this night - any female babies are raised to become Witch Elves, male babies are thrown into a Boiling Cauldron of Blood; those who survive this process are trained as Assassins. Most don't.
Even among Dark Elves, the Shade tribes are considered savage. In addition to the usual Dark Elf depravity, several tribes are cannibals by choice; they mutilate their slaves for the sake of it, and their method for determining strong children? When babies are born they're left outdoors on the first night of their lives. Any babies that survive until morning are deemed fit to be raised among the tribes.
No mention of the Great Maw? A comet with a face that, when it hits the earth, creates a huge desert full of mutated beasts, then burrows through the earth, leaving a huge pit the size of an inland sea which is rimmed with undulating rows of teeth. And the Ogres worship this thing, and make pilgrimages to it. And what's more, it is rumored that it has burrowed through the core of the world and out the other side making a huge, fanged whirlpool. And, looking at a map of the warhammer world, you can see that the approximate location of this whirlpool is an area of sea marked 'no ships return from here'.
And then there are Gorgers. Basically, if a baby Ogre is born without a paunch, the Ogres will sacrifice it to the aforementioned Great Maw by throwing it down into a cave. Usually, they die. Sometimes, they find a tunnel into an even deeper cavern, often filled with Warpstone. And, of course, there are the many other baby Ogres living down there too who have suffered a similar fate. And the warpstone mutates them into even bigger, larger versions of Ogres. Of course, there's not much to eat down there besides, well, each other. So basically, they fight and eat one another until the largest eats everyone. And then, whomever survives, breaks free to the surface. AND HE'S STILL HUNGRY.
Likewise, the Empire - a hallmark of a Crap-Saccharine World with cultists, witch hunts, occassional pogroms and horrors looking behind each corner.
Yet none of these compare to the latest addition to the Vampire Counts army book - the Terrorgheist. Here it is.◊ And then you read up on the backstory...
The Corpse Cart is also pretty creepy. It used to just hold dead plague victims, but since Sylvania is super-saturated with necromantic magic, it's got a Blob Monstermade out of zombies on it. In the fluff, it brainwashes people into feeding themselves to it.
While later fluff and editions transferred it over to Nurgle, early editions listed mercy/compassion as one of the things Khorne was god of... How fucked must a world be for the god of bloodshed, slaughter, rage, destruction and patron to all Berserkers to count as a god of mercy?
Actually, it wasn't that bad. Old!Khorne was a god of mercy/compassion because of three reasons. Firstly: he explicitly forbade his followers from slaying unworthy combatants, as it was a disgraceful offering, and he would punish those who dared insult him by, say, offering him the blood of children. Typically by setting one of his hellhounds on them. Secondly: while Old!Khorne exhoted a warrior's pride, that didn't mean every fight had to be a Duel to the Death — it was quite valid for a Champion of Khorne to spare a worthy adversary and leave him in peace so that they could fight and test their prowess again in a future battle. Finally: Old!Khorne wasn't just the patron of blood-mad berserkers, but also a giver of strength and prowess to those who prayed for the might to protect their loved ones or defend their homes.
An even more terrifying thought is that the incomprehensibly malicious and devious Tzeentch is the god of Hope. And this is still canon.
The Dark Elf Bloodwrack Medusa, anyone who meets the gaze of one will have their eyes burst and bleed to death from every pore in their body.
Fridge Logic applies as to whether this gaze works when it comes up against undead (who either don't need or have any blood, while some don't even have eyes or physical bodies) or daemons (who are supernatural abominations).
The entirety of the Liber Chaotica. The 'author', Richter Kless, delves further and further into daemonic lore in order to write his book, and steadily loses his mind in the process as daemons contact him in his dreams and the book itself becomes an artefact of chaos. A sample:
I think it is important to mention something about the book. It has undergone a great change. I noticed it as soon as I opened the cover. The pages, where once they were clean, crisp parchment, had turned rotten. Only a short space of time has elapsed since I last saw the book, but it is as if it was kept in a damp room for many years. The pages are damp and moist with water; and the smell! I was forced to turn the leaves using tweezers, as I did not want the corruption to taint me. Towards the end of the book the rot seemed worse. The pages were covered in a viscous green slime. During the late hours, with the candle burning low, I swear I could see tiny things crawling in the slime, burrowing under the pages, spreading their infection.
The last page that Richter wrote is covered in deranged scrawlings and sketches of deranged-looking daemons. An 'editor's note' states that Richter has gone completely insane, and all the man did was write a book about Chaos!
While this will become less nightmarish as you start to collect the models and immerse yourself in the lore, a lot of the miniatures can be downright horrifying if you examine them closely. The most obvious are the Chaos models, where the mutations are downright painful to look at (the Glottkin model has eyes growing out of its pores. it will induce trypophobia in you). And then there are the trophies...
You wouldn't think Wood Elves would be a good source of this, but the Warhammer take on them delivers. The elves themselves aren't so bad except for the fact they're unpredictable and Ax-Crazy, basically Legolas mixed with the mutants from The Hills Have Eyes (2006). It's Athel Loren's native... life, which you should worry about. Dryads initially appear as beautiful women and invite hapless fools into the forest with them, only to suddenly transform into horrible monsters and rip their victims to shreds. Some of the treekin are so insane that they just attack everything around them, including other treekin, and decorate themselves with the entrails and skeletons of their victims. They aren't Chaos corrupted, it's just what they're like. What's worse, it's suggested that Athel Loren has deep-running roots connecting it to the forests of the world, and it's expanding to encompass the entire planet, as it's growing outwards and even little outcroppings are beginning to spring up on other landmasses - you could be a sailor on the other side of the world, innocently embarking on an island to go looking for coconuts, and suddenly find yourself in a forest from hell.
The first Gotrek & Felix book features a story in which the villain's hostages, the children of a local village, are in fact experimental subjects and the mutants the heroes have been killing all the way through the story.
The "Malus Darkblade" series of novels, set in the Warhammer Fantasy mythos, has the titular Dark Elf telling a human slave that the slave's fiance, the most beautiful slave girl on the ship, agreed to do whatever Malus asked if her man was set free instead of her (the dark elves have a custom of freeing one slave a trip, though Malus could have been saying that to mess with him). The slave is held in place, weeping, as Malus says how he had his fun with her, and then handed her over to his officers. Then they handed her to the crew, who was "Rougher." Malus describes the blood, and the pain she went through, and finishes by stating that she no longer wished to sacrifice herself for him and wanted to be freed instead. And then pulls out a small object. To this point, you're thinking "rape", of course. Then you remember that these are Dark Elves, and what their favorite hobby is(although given their depravity that unfortunately doesn't rule out rape)... and you realize this at just about the point where Malus unfolds the item, which is the girl's skinned and tanned face, and hands it to the slave. "Here, I saved her pretty face for you! Give her a kiss!"