This is based on opinion. Please don't list it on a work's trope example list.
Nightmare Fuel / XCOM: Enemy Unknown
Meet the Chryssalids.
Remember those Mutons and how they're supposed to be the front line troops for the invaders? They can take some serious punishment, soaking bullets to the face, to say nothing of their elite counterparts. Now, let's go to South America's continent bonus, "We Have Ways", which allows all interrogations and autopsies to be completed immediately. Just what are they doing to the Mutons to get the information so quickly?
The Terror missions. In the background, you hear screaming and panicking crowds, air raid sirens wailing, police and fire sirens blaring, and the sounds of human and alien weaponry exchanging fire, while you're attempting to rescue an isolated group of civilians, who are being picked off one by one by aliens. They're also probably going to be the first time you'll meet the Chryssalids. Huh? They killed a civilian, you say? What!? THE CIVILIAN IT KILLED CAME BACK TO LIFE!?
This is extra the case when you see it through the perspective of your soldiers, I mean, these guys just saw their friends get brutally mauled and now their dead friend is out for their blood. And the case becomes even worse at Site Recon.
The tutorial, if you played the first game when you see the soldier in the warehouse, you just know he is gonna frag you, and there is nothing you can do to keep yourself from dying.
On that note, the whole tutorial can be considered one. You know full well that there will be only one survivor...
Ethereals. Sectoids and Sectoid Commanders can pull off some pretty nasty psionic moves. With Ethereals, this is all they do. One Ethereal, and your squad goes from a highly disciplined team armed with high-tech weaponry to a terrified group, cowering from psionic attacks and the weapons of their own comrades suffering from the effects of Mind Rape.
National Center for Health reports alarming increase in suicides as alien attacks continue unabated
Food shortages reported in a number of countries as infrastructure damage slows supply chain
Villagers from several remote South American towns fearful of alien abductions taking place 'unchecked.'
Reduced foreign aid during alien conflict compounds death toll from alien attacks across Africa
Devastation in Leipzig as early reports indicate mass casualties in latest alien attacks; local residents now living in 'constant fear'
Hundreds dead in Beijing: Alien attack topples large office complex as rescuers now attempt to recover survivors
Fear grips Australia as government forces fail to slow increasingly powerful alien attacks across the nation
One of the Vendor Trash that you can collect after capturing the alien base is the "Alien Food", a nutritious slurry eaten by the aliens. The description reveals that the soup contains unmistakable traces of human DNA. With that in mind, just think about what happens to all the civilians that gets abducted, or the unpleasant implications on what will happen to the body of your fallen soldiers if you are unable to retrieve them due to the mission being aborted.
Site Recon. It's a Council Mission in Enemy Within where the team is dispatched to investigate a distress signal from a Canadian fishing village. The regular military rescuers have gone silent. You land at the village and start to progress through it. Then, zombies start popping up. This looks bad, because where there's zombies, there's Chryssalids. You push through the village, to find a wrecked whaling ship, where the sharks and a captured whale are being used to incubate an army of Chryssalids. And more and more are getting birthed every round. Central makes it clear that you've only got one option: fight through the horde of Chryssalids to activate the boat's transponder so XCOM can direct an airstrike to wipe out the entire village. Then, once you've managed to pull that off, Chryssalids start pouring out of the whale-hive, and you've got to make a mad dash back to the landing site before either the airstrike wipes you out, or the Chryssalids catch up....
More frightening; the text during and after the mission implies that this infection happened before they were fished up. This makes sense given the scene; it looks like the ship crashed into the village, rather than docking with it. While XCOM states that they will attempt to prevent it from happening again, the fact that Chrysalids could infect the oceans is pretty damn scary.
While the surgery isn't shown, MEC Troopers giving up their arms and legs, along what appear to other parts of their body, is horrifying to picture even if it is voluntary.
Also, their voices. MEC Troopers speak in a borderline Creepy Monotone with a filter effect that makes their voices sound computer synthesized. Makes you wonder how much of their humanity they traded for an arm-mounted flamethrower.
I had this thought too, first time I made a MEC Trooper. While my regular soldiers were saying things like "He's down" or "Out of the game" there' a giant robot walking around, sticking to very concise things like "Alien pacified" "Kill confirmed." Said worries were put aside, however, when she charges into a room and point-blanks a Chrysallid who's about to eat my sniper with a particle cannon. The dust clears, and her synthesised, butchered voice speaks two words: "Good Riddance!" To me it seems that as they gain ranks, MEC Troopers regain some of their lost humanity and become pretty snarky.
This troper can sort of confirm the above; his MEC colonel once calmly remarked "Vehicle fire detected," after the third car in a row exploded. If that ain't snark...
It's worth mentioning that, most likely to audio clip limitations, Zhang maintains his regular voice even after being turned into a MEC trooper. If viewed from the right angle, this can come off as a Crowning Moment of Awesome and Heroic Willpower
While the description is probably meant to be hopeful, the fact that the base augments (the skeletal limbs that the MEC Trooper wears while not in an MEC) are intended to "hopefully" allow the soldier to return to a normal life if XCOM wins the war, is kind of frightening. It's a case of technology and necessity outpacing long-term considerations: MEC Troopers will never be human again, and it shows.
MEC Troopers are unable to be deployed onto the battlefield without their actual MECs, even though they always have a set of arms and legs available. The given reason for this is that the cybernetic arms and legs made for off-duty hours aren't agile enough to be used. Think about that for a moment. Normal humans can certainly go off into battle, but MEC soldiers without their suits can't. As powerful as the suit may be, a MEC Trooper is even less capable than a normal human without it.
Though do bear in mind that the Base Augments are made using regular steel, circuitry and batteries. Considering what the Alien Alloys and Elerium do for all your other tech, it's not hard to imagine biologically-par augments being made. Hell, by the time you're done with levelling and Foundry projects, the actual giant hulking robot suits have roughly the same dexterity, speed and combat options as your flesh-and-blood soldiers.
And they mount external weaponry. This brings to mind another Nightmare Fuel moment: the Kinetic Strike Module. Imagine, if you will, you're a Muton fighting some humans. Things are going well. They're pulling back. Suddenly, some giant walking tank thing rushes you out of nowhere and BAM! Every bone in your body liquifies. Your organs implode. You're thrown backwards through a wall with enough force to shatter it, into the car parked outside, which then explodes from the impact. Not the way I'd choose to go... On top of that, you can bring a MEC trooper to fight EXALT. Imagine how it must be like to the EXALT operatives to see XCOM suddenly turn a cyborg warrior with weapons best described as "anti-armor" against them.
Neither would the MEC's flamethrower. Being hit with this weapon makes even Chryssalids and Ethereals flee in panic.
The matter-of-fact way Shen informs you of the procedure ("We'll notify you when the requisite amputations are complete") or sometimes gleeful way ("A chop here, a chop there. . .") can be downright chilling, especially if you weren't aware what MEC Trooper augmentation involved.
Also from the reboot, the Thin Men, a modernized version of the Snakemen. Faster, more mobile, and they both spit poison and explode into poison when killed. Oh, and they look almost human. Good hunting!
Sometimes, due to a glitch in Enemy Unknown, an enemy unit may spontaneously appear next to one of your soldiers as if they teleported from out of nowhere. Bad enough when it is a Muton or Cyberdisk, maybe even a Sectoid, but this can also happen with a Sectopod.
Floaters and Heavy Floaters from the remake. Several times more horrific than the original game's counterparts, and very, very dangerous in the early game.
Then there's the fact that one of their idle animations involves ripping and tearing at their own bodies, causing blood to spurt into the air. That suggests that the cyber-conversion is either incredibly painful, or that somewhere deep inside, even the former mutons are horrified at what they've become...
Seekers. These robotic enemies turn invisible to the naked eye upon discovery, and often won't appear until they are right in front of you, in which case they will start strangling you to death. This would put anyone on edge, as the thought of these aliens seeking you down whilst invisible, and suddenly manifesting in front of you to start strangling you is bone-chilling.
Let's think about this from the alien mooks' perspective, shall we? So your leaders tell you to forcibly uplift a primitive race known as humans. Pah, easy you say. These primitive apes are still using ballistics weaponry and they haven't even figured out practical spaceflight yet. So you send out the Sectoids to start abducting. And then, out of nowhere, a squad of four of these humans shows up and slaughters your advance guard (assuming you didn't play the tutorial). Okay, you think. We'll send in the Thin Men, Floaters, Mutons, and Chryssalids. They get slaughtered. Then, your spacecraft start getting shot down by this same mysterious group of humans. Now, the rumors have started among the rank and file of a horrific creature known only as "Doctor Vahlen," who will capture you, place you in a glass pod, and stick probesinto your brain to gain information on you! And THEN, this same group of humans, having turned your own weaponsagainst you, breaches your base and utterly slaughters everyone inside. They never leave any survivors, and they always take the corpses to their horrific underground base to be dissected and used as weapons. So you start bringing out the bigger guns: Sectoid Commanders, Muton Berserkers, Muton Elites, Sectopods, Cyberdisks, more powerful spacecraft, the works. They're all slaughtered, even when you attack their base. And those psionics that gave you a massive edge early in the invasion? The humans have them too, and they'll use them, chortling horrificallywhile they do it. You think you have it bad? Try being a platoon of Thin Men or Sectoids on a Council mission going up against a squad of Colonels and Majors.
The giant, swirling vortex...thing that appears over any country that leaves XCOM. Is it a horde of alien ships glassing the country or abducting the populace? We're never told what it is. But it doesn't look good.
One of the details that drive home how screwed countries that stop support of XCOM are is that you can revisit them during EXALT operations. Some of these EXALT mission maps will make the appropriate changes to their terrain to drive home the fact that you are now battling in a war-torn and badly-shredded cityscape that has not been rebuilt.
The Base Defense Mission, Good lord, the Base Defense Mission. So you just kicked down the doors the the enemy's base, wiped them out, and either captured or killed what appears to be their leader. Invasion's over now right? You won right? It's just cleanup now right? Wrong. One day almost a month later the Hologlobe starts freaking out, the HQ's systems start shutting down, and members of your own side are blowing things up and violently attacking people under the clear influence of mind control. Oh yeah, and those Aliens you've been fighting? They've breached into the base and they're pissed. If you lose, then it's Game Over and you're likely still licking your wounds from the attack on their base. Have fun.
An in-universe example of nightmare fuel comes when you think about things from the perspective of your "D-list" soldiers. You know, the ones who you kept gaining, but ignored because you developed a few core squads of badass soldiers and never developed them beyond rookies or squaddies? Because the Base Defense is an all-hands-on-deck scenario, they can get mixed in with your veteran soldiers, and are suddenly facing the same threats those veteran soldiers have been facing. These poor rookies and squaddies, depending on how far you are into the game, might find themselves facing down Mutons, Cyberdiscs, Chrysalids and Sectoid Commanders when they're barely trained and equipped to handle a Sectoid.Not that it stops them from fighting, mind you.
How XCOM handles interrogations. Now some people might inflict pain to try and force answers or bribe to gain the allegiance of the target but XCOM is all about results since the Human Species is on the line. Instead of trying to gain the trust or unwilling acquiescence of the aliens they skip the social aspect of interrogation entirely and cram electrodes into the brains of their enemies until they find the information they want. The Sectoids and Ethereals might have figured out mind reading through psionics but Dr. Vahlen can do the same thing with a probe and electricity though the subject doesn't survive the process.