Nightmare Fuel: The Redcaps. Their name comes from their habit of making hats out of the flesh and organs of their victims.
Tear Jerker: Quite a few. but none quite as much as Veitch's finalHeroic Sacrifice, which not only kills him and his opponent, but wipes all trace of him from Existence, so his heroism can never be remembered.
Wangst: in this case justified - firstly they had messed-up lives which they had to overcome to become the badasses they had to be to do the job, and then later they discovered that all of it had been engineered by the Golden Ones to get them back to full-strength.