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Nightmare Fuel: X-Men: First Class
Sebastian Shaw's inexplicable afterimages. You're seeing what a Voice of the Legionwould look like.
Azazel, Shaw's teleporting mutant, took people from within the CIA base and appeared in the sky before dropping them to the hard ground below! Now, think of going to sleep only to wake up in the air and FALLING.
The mere fact that a quite high amount of both humans and mutants are fine with genocide.
Charles screaming in pain as Erik is slowly and deliberately drilling a coin through Shaw's head, who Charles was telepathically connected to at the time.
Actually, the thing by itself would be horrifying enough.
Hank's transformation into Beast. His physical body goes through five notable changes from jaw line to claw growth. Oh and then there's being blue and fuzzy for the rest of your life... All of that from trying to get rid of hand-like feet.
Darwin's extremely horrifying death, slowly being burned from the inside out. The audience can see his body trying to fight it. The worst part is the end; he reaches out to Alex, face completely calm, and disintegrates.