This is based on opinion. Please don't list it on a work's trope example list.
Nightmare Fuel / Within Temptation
"Say My Name" is this and Tear Jerker simultaneously due to being about a child lamenting that their Alzheimer's-stricken parent can no longer remember the child's own name.
The lines: "I'll make them bleed at my feet" and "One by one they were surprised" from "The Promise" count too, especially cause it strongly sounds like she is singing the latter with a smile on her face.
"Murder" from The Unforgiving has much the same vibe, and the fact that at this point in the album the protagonist is on a Roaring Rampage of Revenge does not help.
Potentially the comic books and short films that accompany The Unforgiving. For instance, the first of the three films features three apparently cannibalistic children. The children are revealed to be the Triplets, created from Mother Maiden reviving the deceased corpse of a young boy with split personalities due to being sexually abused by his father.
Try playing "Intro" from Mother Earth set to repeat itself. In a dark room, maybe the random voices in the background start making sense.
The video for "Frozen" seems to be a story of a mother killing her abusive husband to protect her daughter. Then Sharon picks up the doll the daughter broke after she was abused.
Play "Our Solemn Hour" reversed and use your imagination while listening.
Forsaken is obviously not going to be a happy sounding song to begin with, but Sharon's slowly fading Madness Mantra "The day has come" is absolutely haunting.
One scene in the video for "Utopia" shows a young streetwalker being solicited by the serial killer priest from the video for "Angels".