Kaito Tenjo obtains numbers by stealing their owners' souls. Although Kaito doesn't know it, all of his victims are completely innocent. Anyone who loses their soul ages rapidly and falls into a comatose state. But the worst part is, we never see these people get returned to normal, leading to some incomfortable Fridge Horror: were these people returned to normal, or did they stay like that forever?
Then in Episode 64 the Tron in Haruto's mental world. Behind his mask he doesn't even seem to have a face, just darkness. Then he turns into a dragon, which Hope kills. But then he starts stalking towards Yuma with the most nightmarish expression possible. Fortunately he collapses into sludge before it can get worse, but that was easily the most nightmarish segment of the episode.
Everything about Vector, from his facial expression, to the way he talks, to his voice. You name it.
Just before revealing himself as Vector in Episode 96, Rei has a truly horrific looking Nightmare Face. And once he reveals himself, Vector's eyes have some incredibly creepy movements.
Astral turning evil in episode 97 is quite disconcerting, especially when he starts to manically chant "ZEXAL, ZEXAL, ZEXAL!" while making a Nightmare Face and forcefully grabbing onto Yuma's shoulder. The next episode preview gives us this gem◊ too.
Dark Zexal is also quite creepy, mostly due to being utterly insane and self-destructive.
Episode 101 was like something out of a horror show. The scream-filled flashbacks to the prince who executed large amounts of people before killing himself (heavily implied to be Vector's past life), along with the wall paintings of executions were bad enough, but the ruins in this episode are also home to an extremely large execution chamber, with the walls covered in bloody weaponry. This is in-universe nightmare fuel for Vector, of all characters, who shivers and hugs himself after entering.
Episode 110 sees Black Mist going mad with the power of Chaos, and trying to lay waste to all three worlds. To put this in perspective, even Vector was not liking the looks of this at all. He then steals Heart Earth Dragon and Coat of Arms and turns them into even more terrifying Chaos Number versions of themselves.
The Four Duelists brought together by Vector all have horrible true forms, and powers that lend to Paranoia Fuel, including Semimaru, who can take people's memories away, used to its most nightmarish extent against the hero and his friends.
Although Narm for some, we get to see a naked Mr. Heartland in episode 112, who was transformed from a fly back into a human form. The fact that it looked like a magical girl transformation did not help.
From Bad to Worse: He has a Barian Form. It is utterly disgusting looking, mirroring his new Ace monster, Baal Zebul.
Possibly even worse is him burning to death. The dark power from the fake Numbers coalesces inside Heartland and he is seemingly obliterated in a dark blaze which forms into the shape of Don Thousand for good measure.
Furthermore, anyone who held a Fake Number was converted into energy and used as a sacrifice for the Barians. Including one of the hero's friends, though one who had been a Jerk Ass.
The plight of Shark and Rio brings pretty scary Paranoia Fuel. Just imagine it, you're a normal person with memories of your life and friends and you're fighting aliens from another dimension with those friends. Then, suddenly, you find out that in fact, your life is a lie, your memories may well be false, and that you're actually the leaders of the aliens you've been fighting.
Further, what they enabled once in the Barian World, changing drastically from who they used to be, outright leading a fullscale invasion, and that they choose this.Woah.
Don Thousand's powers are just, disturbing. The human form he took on during his quest to create the Seven Barian Emperors is just, horrifying. And that's not mentioning his other powers, aka Combat Tentacles that just, ew.
The Really Dead Montages are a combination of this and Tear Jerker. A massive amount of the supporting cast has died, and likely, an obscene amount of civilians and random duelists, are probably dead due to the Barian Invasion and The Fake Numbers. Even the protagonist's best friend died, his rival died, the Heel Face Turned Tron Family is dead, and all of the Quirky Miniboss Squad is dead except Nasch. Sure, the story nonetheless has a happy ending with most of those deaths undone, but even then, those montages hurt to watch.
Episode 15. Yuma somehow has his mind transferred to the Dark Magician. We get a first-person point of view of the Dark Magician of Blue Eyes White Dragon roaring at the camera.
We also have the situation of IV's ace card, Number 15: Gimmick Puppet Giant Killer. From its creepy, unsettling unmoving face, to the very fact inside its chest is a torture device made to grind up whatever monster it takes inside of it. Fortunately, the character's monsters that were victims were inorganic. Check out how creepy that thing looks here◊. Granted, IV's deck of puppets is eerily unsettling as it is, especially Gimmic Box◊.
Any of Vector's more extreme facial expressions. Episodes 96-98 are full of them.
Zexal's Manga is full of horror, despite the light initial impression:
The Doctor Faker reveal. All of it. Heartland is easily ten times the monster he was in the anime, being stated to be a conman who led maybe hundreds of people to their deaths, for whom this Number War is just another con job. Then we get his killer, Kyoji Yagumo revealing his reason for confronting Heartland - he wanted the Number War to continue so that both worlds can die. You see, he is a nihilist for whom the existence of anything is a crime. Just try thinking of what that means for his mental state, and what could get anyone into that mindset. Even Kyoji's monsters seem to follow this theme, being anything from his usual Spider theme to a ghastly undead Lancelot, to a hellish dog creature.
Then there's the reasoning behind why his Numbers are so varied - he can shape them. Besides the awful implications, he states that his desires are nil. He wants absolutely nothing. Literally. Which means Numbers, shaped by desires, are basically shaped instead by his momentary whims.
Nihilistic and insane Kyoji Yagumo revealing his "original sin" - the fact that he became a professional duelist and then reunited with his brother...only to discover his "brother" was an identical stranger who killed his brother and replaced him. Kyoji by all appearances goes batshit insane and strangles a ten year old to death in extremely brutal fashion.
E Rah, his Benefactor, is no slouch Herself. She's the Goddess of Despair, basically Junko Enoshima deified, and outright stated to be able to smell hope...and crush it. Her monsters thrive by being destroyed themselves, and then turning into overlay units that spawn twisted E Rah versions of the protagonists' monsters. She is also mentioned to be able to override people's protection against negative effects of Number monsters and make them go crazy.