Even scenes that aren't scary tend to be very unpleasant depending on your sensitivity. Overly graphic scenes of dwarf sex and a six year old sucking on his mother's tits don't lend themselves to pleasant dreams.
Almost any scene focusing on Gregor Clegane or the Brave Companions (those that aren't Black Comedy in the latter case).
Those tiny glimpses into Littlefinger's psyche. Behind the smiles and his Affably Evil antics is a deeplydisturbed individual with such a complete Lack of Empathy that caused the death of thousands upon thousands of innocent people by orchestrating a civil war, sold the aforementioned Jeyne Poole into sexual slavery and is plotting to kill a sickly child under his protection. Many dread to think what he has in store for his protégée, Sansa Stark.
The amount of physical and mental abuse Randyll puts his son Samwell through, including but not limited to: chaining him up in a cell when he told his father he wanted to be a maester, having him bathe in the blood of a recently slaughtered auroch, and threatening to take him into the forest to have a Hunting "Accident".
Robert Arryn. A Creepy Child with a My Beloved Smother is bad enough, but then we learn that one of his favorite things is to "make people fly!" To put this into perspective, this is a six-year old who likes to watch people be thrown off of a mountain, and whose mother seems to have no problems letting him give the order to have it done!
The sky cells seem to be designed to drive prisoners to madness.
Gods save me, some previous tenant had written on the wall in something that looked suspiciously like blood, the blue is calling.
The life (and deaths) of Beric Dondarrion. The man dies six times, each death horrible, and is brought back in an increasingly debilitated state each time - and each time with fewer memories. By the end he's a barely sentient zombie, and while he dies for the final time in order that Un-Cat can (sort of) live, he's probably as desperate as he still can be to stay dead this time.
Theon's account of Roose Bolton.
His face was clean-shaved, smooth-skinned, ordinary, not handsome but not quite plain. Though Roose had been in battles, he bore no scars. Though well past forty, he was as yet unwrinkled, with scarce a line to tell of the passage of time. His lips were so thin that when he pressed them together they seem to vanish altogether. There was an agelessness about him, a stillness; on Roose Boltons face, rage and joy looked much the same. All he and Ramsay had in common were their eyes. His eyes are ice. Reek wondered if he ever cried. If so, do the tears feel cold upon his cheeks? Once, a boy called Theon Greyjoy had enjoyed tweaking Bolton as they sat at council with Robb Stark, mocking his soft voice and making japes about leeches. He must have been mad. This is no man to jape with. You had only to look at Bolton to know that he had more cruelty in his pinky toe than all the Freys combined.
Lady Stoneheart is Catelyn come Back from the Dead after three days of rotting in the water. Her face has deep gashes where she tore off her own skin, her Slashed Throat makes speech difficult and her eyes are two pits of pure rage and hatred. She took control of the Brotherhood without Banners and is hanging people all over the Riverlands who she believes have anything to do with the Lannisters, Boltons and Freys. She is vengeance personified.
Patchface, Stannis's fool, is very, very creepy. He was found naked on the beach two days after the shipwreck that killed Stannis's parents. No one knows how he survived but the man who found him swore for the rest of his life that Patchface had been cold like a corpse but suddenly woke up. Patchface was said to be witty before drowning, but now only speaks in bizarre, nonsensical riddles, usually about a place under the sea; what's creepier is that these riddles seem to be prophetic, as he accurately predicted the Red Wedding. He scares Melisandre, the woman who burns people alive.
Melisandre: That creature is dangerous. Many a time I have glimpsed him in my flames. Sometimes there are skulls about him, and his lips are red with blood.
Tormund's description of how the Others attack. Not in force, but by slowly whittling away at the wildlings night after night, always sticking close by, even if they hide away during the day. The wildlings can fight off the wights, but they can't do anything to stop the Others but try to light a fire and pray they wake up in the morning.
A man can fight the dead, but when their masters come, when the white mists rise up... how do you fight a mist, crow? Shadows with teeth... air so cold it hurts to breathe, like a knife inside your chest... you do not know, you cannot know... can your sword cut cold?
Sandor "the Hound" Clegane's childhood is pure nightmare fuel. Already terrified of his older brother, six year old Sandor got his face shoved into a brasier by Gregor for just playing with one of his toys. Then, his father covered it up. Then, his sister was murdered by Gregor as a baby. Then, Gregor was knighted despite these misdeeds, proving to a young Sandor that evil people are rewarded in this world. And finally, Gregor murdered their father, finally pushing Sandor to get the hell out of there and work directly for the Lannisters.
Harrenhal is a very disturbing place. The day it was finished, Aegon the Conqueror burned it with dragonfire, killing everyone inside and leaving it half in ruins. The sheer size of it makes it impossible to maintain, so the castle just sinks deeper into decay. But the real scary thing about Harrenhal is that it's supposedly cursed. Every house or person to hold it has met a very bad end, and Harrenhal goes through lords like noblewomen go through dresses. It's also said to be haunted by its former occupants.
And then there are the human monsters: naked girls were put in stocks out on public display for whenever some soldier wanted to rape them, for the simple 'crime' of sleeping with Lannister men who'd held the castle before; Arya was threatened with rape, dismemberment, maiming, and abuse on a regular basis; there were severed heads of people on spikes all around. On one occasion a thirteen year old girl was gang raped and the rapists laughed about it openly. Arya's time there was one of the most disturbing sections of the book.
Jaime: Harrenhal had witnessed more horror in its three hundred years than Casterly Rock had witnessed in three thousand.
Added to this is the implication that, over the years, it's become almost standard procedure to hand the deeds and titles to the place to people who are rising too quickly and strongly for the comfort of the status quo. Just to slow their rise down, or, with luck, to utterly sink them with the unexpected downsides. It's the classic White Elephant, except this one is a creepy, haunted money sink and "reward".
Some of the most adult-fear-infused moments in the entire series involve the many grisly deaths of innocent children and even infants. You thought a world as unforgiving as Westeros was going to have any mercy for children? HA HA HANo.
During the sack of King's Landing, Tywin Lannister ordered his soldiers to kill the Targaryen children. Three-year-old Princess Rhaenys was stabbed dozens of times, while the infant Prince Aegon's head was smashed against a wall. Kevan Lannister describes what was left of him as "a faceless horror of bone and brain and gore".
The last Lord Tarbeck, a three-year-old boy, was thrown down a well by Ser Amory Lorch.
After King Robert's death, Cersei orders the goldcloaks to massacre every bastard child he has sired in King's Landing. One of the victims is a whore's daughter, a baby girl less than a year old.
When the Mountain's men are lining up a village's smallfolk to be "questioned" for the whereabouts of Beric Dondarrion, a little boy wails for his father and gets his face smashed in with a spiked mace.
The Dance of Dragons was not kind to Aegon II's children. Six-year-old Jaehaerys was beheaded in front of his mother, two-year-old Maelor was torn apart by a mob (or sliced to pieces, in another version of the story), and ten-year-old Jaehaera was thrown from a window and impaled on a spiked fence. Before them, Hugh Hammer and Ulf the White brutally sacked the town of Tumbleton, raping girls as young as eight and ten.
The treatment of slave children in Slaver's Bay is nothing short of horrific. The Good Masters in Astapor regularly feed child slaves to bears for entertainment, wagering on whether the bear will eat a child dipped in honey or a child dipped in fish first. The Unsullied are gelded and put through Training from Hell starting at age five, killed if they fail any part of their training, and have to kill slave babies in front of their mothers as their final tests. And when the Great Masters hear that Daenerys is coming to Meereen, they decide to crucify a slave child to every single one of the 163 signposts along the road to the city just to taunt her.
When the Brave Companions sack the town of Saltpans, Rorge brutally rapes a twelve-year-old girl, then gives her to his men, who cut her nose and nipples off.
In the prologue of A Dance with Dragons, a group of wildlings on the run, including a mother and her baby, are devoured by a pack of starving wolves.
His one-eyed brother knocked the tooth-thrower back into a snowdrift and tore his throat out as he struggled. His sister slipped behind the other male and took him from the rear. That left the female and her pup for him. She had a tooth too, a little one made of bone, but she dropped it when the warg's jaws closed around her leg. As she fell, she wrapped both arms around her noisy pup. Underneath her furs the female was just skin and bones, but her dugs were full of milk. The sweetest meat was on the pup. The wolf saved the choicest parts for his brother. All around the carcasses, the frozen snow turned pink and red as the pack filled its bellies.
One of the more subtly disturbing parts of the series is that a great deal of the horrific stuff that happens isn't made up. George R.R. Martin draws a lot from real history, and so some of the occurrences mentioned on these pages are either directly based upon or inspired by real events that happened to and were committed by real people throughout history (and still do happen in some places). This includes the Red Wedding (inspired by the Massacre of Glencoe and the Black Dinner), the destruction of Valyria (possibly partly inspired by the destruction of Pompeii) and wildfire (based upon Greek fire) to name a few.
George R.R. Martin: No matter how much I make up, there's stuff in history that's just as bad, or worse.
The Winds of Winter
The Damphair preview chapter "The Forsaken" is full of some of the biggest nightmare fuel in the series. When Euron forces his brother to drink Shade of the Evening, he witnesses terrifying visions.
The dreams were even worse the second time. He saw the longships of the Ironborn adrift and burning on a boiling blood-red sea. He saw his brother on the Iron Throne again, but Euron was no longer human. He seemed more squid than man, a monster fathered by a kraken of the deep, his face a mass of writhing tentacles. Beside him stood a shadow in woman's form, long and tall and terrible, her hands alive with pale white fire. Dwarves capered for their amusement, male and female, naked and misshapen, locked in carnal embrace, biting and tearing at each other as Euron and his mate laughed and laughed and laughed...
Aeron's shade-of-the-evening-induced nightmare/fever dream of Euron sitting on the bloodied Iron Throne with the bodies of the Seven impaled on its spikes, alongside the likes of R'hllor, the Black Goat, the Pale Child, the Lord of Harmony and even his own beloved Drowned God.
Euron, without remorse, describing how he murdered his half-brothers. When his eldest brother Harlon was dying from greyscale, Euron pinched his nose shut, killing him. When he says he killed Robin he doesn't say how, but refers to "how soft" his head was.
"The bleeding star bespoke the end, he said to Aeron. These are the last days, when the world shall be broken and remade. A new god shall be born from the graves and charnel pits.
The Reveal that Euron did in fact rape his brothers Aeron and Urrigon as children. It's enough to make you realize just how depraved the man is. For comparison, even Gregor Clegane didn't do that to his brother Sandor.
Euron's monstrosity is further shown when he has Falia Flowers lashed to the prow of the Silence alongside Aeron, with her own tongue cut out and her crying. This seems to be for no reason other than that he felt like it.
Well, she's pregnant, and he might be sacrificing her and Aeron to the Drowned God for luck in their upcoming battle, so... threefer?
The description of the last few moments of Baelor Breakspear's life in The Hedge Knight.
The history of the Nightfort:
Mad Axe, who butchered his brothers in the night.
The Night's King was a commander of the Night's Watch who found and was bewitched by a (seemingly) female Other (that's right, one of the freakin' ice monsters). He and his 'bride' ruled as King and Queen for thirteen years, enslaving all the members of the Night's Watch and celebrating horrifying ritual sacrifices, before being defeated by a combined army of Starks and Wildlings. There are many theories about the Night's King's identity, but Old Nan claims he was a Stark himself!
The Rat Cook, butchering the King's son and baking him into a pie he then served to the King. For his violation of Guest Right he was turned into a giant white rat that was cursed with endless hunger, but only able to eat its own offspring.
The 79 sentinels were deserters from the Night's Watch. Among them was the youngest son of Lord Ryswell, so they fled to Ryswell's lands expecting shelter. Instead, Lord Ryswell returned them all, including his son, to the Night's Watch. Back at the Nightfort they were entombed within the Wall while still alive. They did not keep their oaths in life, but will do so in death.
And the most tragic: Danny Flint, a girl who dressed as a boy to join the Night's Watch, but ended up being discovered. Her former sworn brothers proceeded to rape and murder her for it.
Aerys Targaryen used to cook people in their own armor. Not a good way to go.
And what he did to the people (and their entire families) who held him prisoner in the Defiance of Duskendale.
Robyn Hollard, a teenage squire who taunted Aerys and pulled his beard when the king was taken prisoner, was tortured to death in the dungeons of the Red Keep.
His tendency to rape his wife when he's turned on (particularly by burning people alive). The poor woman "looked as if some beast had savaged her, clawing at her thighs and chewing on her breasts".
The Wildfire Plot. After Robert Baratheon not only evaded but managed to inflict a crushing defeat on a royal army sent to hunt him down, Aerys was forced to consider that the Targaryens might lose the war... so he had his favourite pyromancers store caches of wildfire (the Westerosi/fantasy equivalent of napalm) beneath all the major locations of King's Landing, intending, should he be defeated, to raze the entire city to the ground and kill its entire population as a final, spiteful gesture of defiance. When the Lannister army began to sack King's Landing and Aerys gave the order to set the wildfire ablaze, Jaime Lannister notes that Aerys was so far gone to insanity, he didn't believe he would die in the inferno; instead he was convinced he'd be reincarnated by the fireas a dragon, with the power to destroy all of his enemies in one fell swoop.
The fate of Elia Martell when the Lannister forces took King's Landing. The child she was cradling was snatched from her arms and had his head dashed against the wall - and then the monstrous youth who did it raped her with the baby's blood and brains still on his hands. And then he killed her, simply because Tywin Lannister hadn't told him not to.
The youth was Ser Gregor Clegane, The Mountain that Rides. And this wasn't even the first dreadful act he'd committed...
The events of the Tower of Joy. Ned slew most of the Kingsguard but all his friends, except for Howland Reed, died. He found his sister dying in a bed full of blood, surrounded by withered roses, as she desperately whispers to him, "Promise me, Ned." Her final words play like a mantra in Ned's head 15 years later.
The historical Dance of the Dragons, a civil war between the children of Viserys I Targaryen, produced many grisly deaths.
The Blood and Cheese incident in "The Princess and the Queen" is the most pure distillation of adult fear in the entire series. Blood and Cheese are two assassins sent by Daemon Targaryen to infiltrate the Red Keep to carry out the retaliation for the death of Lucerys Velaryon. Their real names are lost to history but one was a former sergeant of the City Watch and the other a rat-catcher in the Red Keep. Together they broke into Queen Alicent's bedroom, tied her up and waited for Queen Helaena Targaryen to bring her children to kiss their grandmother goodnight. They killed the guard and then forced Helaena to choose which of her two sons she wanted them to kill. When Helaena eventually chose her youngest, 2-year-old Maelor, they killed 6-year-old Jaehaerys instead, so Maelor would live the rest of his life knowing his mother chose him to die. And for good measure, they threatened to rape her 6-year old-daughter Jaehaera and kill all three children if she didn't make up her mind fast enough. Its no wonder that Helaena falls into a crippling depression and never recovers.
Little Maelor would not long outlive his brother. When a Kingsguard knight tried to smuggle him to safety on the orders of Larys the Clubfoot, a storming mob of people each tried to claim Maelor as their own prize, accidentally killing him in the process. According to different accounts of his death, he was either ripped apart by the crowd or sliced into pieces so each of the mob could have "a piece of prince".
Their sister Jaehaera also suffered a brutal death. After the Dance of the Dragons, she was wed to her cousin Aegon III, but shortly after, she fell (or was thrown) from her bedroom window, landing on the iron spikes of Maegor's Holdfast below and taking half an hour to die. She was 10 years old.
The Storming of the Dragonpit. A man called the Shepherd stirred the smallfolk of King's Landing into a horrible frenzy, ranting that the dragons would kill them all and had to be destroyed. The smallfolk ran into the Dragonpit to kill every dragon they could find. And they did, but at a terrible cost: hundreds, if not thousands, of people were burned to death. Even as people were dying gruesomely, others just kept rushing into the fiery hellscape, despite the rapidly increasing body count. Archmaester Gyldayn writes that it were as though the entire city went mad.
The Shepherd: When the dragons come, your flesh will burn and blister and turn to ash. Your wives will dance in gowns of fire, shrieking as they burn, lewd and naked underneath the flames. And you shall see your little children weeping, weeping till their eyes do melt and slide like jelly down their faces, till their pink flesh falls black and crackling from their bones. The Stranger comes, he comes, he comes, to scourge us for our sins. Prayers cannot stay his wroth, no more than tears can quench the flame of dragons. Only blood can do that. Your blood, my blood, their blood. There the demons dwell, up there. This is their city. If you would make it yours, first must you destroy them! If you would cleanse yourself of sin, first must you bathe in dragons blood! For only blood can quench the fires of hell!
Aegon the Younger was forced to watch his mother being eaten alive by his uncle's dragon. He was left permanently traumatized by this and, for the rest of his life, had a hatred for dragons in spite of his family's traditional ties to them.
While it was probably bullshit made up by Mushroom, one account goes that after her stepmother Alicent called her deceased sons bastards too many times, Rhaenyra ordered her and her daughter Helaena to be locked up in a brothel for all the city to use, one golden dragon for Alicent and three for Helaena, until each was pregnant with a bastard of her own.
A kind of understated one, bordering on Paranoia Fuel, is that Aerys Targaryen, in his fits of pyromania and paranoia, stored hidden caches of wildfire all around King's Landing just in case he wanted to burn it all to the ground. Not many people know about the plan and there's no WAY all the caches have been found. Then there is the fact that wildfire tends to spontaneously ignite and explode when its shelf life is up. Any random house in King's Landing may just be one bad day away from going up in flames and taking the entire street with it, at the least.
The description from The World of Ice & Fire about exactly how Tywin wiped out House Reyne. The Reynes, having lost one battle to the Lannisters and believing that their castle of Castamere couldn't stand up to a siege, fled into a series of mines built beneath the castle. Storming those mines would result in enormous Lannister casualties, so they believed that it would create a stalemate that would force the Lannisters to have to negotiate with them. They were very, very wrong.
Ser Reynard sent word to Ser Tywin above, offering terms. But Tywin Lannister did not honor Ser Reynard's offer with a reply. Instead he commanded that the mines be sealed. With pick and axe and torch, his own miners brought down tons of stone and soil, burying the great gates to the mines until there was no way in and no way out. Once that was done, he turned his attention to the small, swift stream that fed the crystalline blue pool beside the castle from which Castamere took its name. It took less than a day to dam the stream and only two to divert it to the nearest mine entrance. The earth and stone that sealed the mine had no gaps large enough to let a squirrel pass, let alone a man... but the water found its way down. Ser Raynard had taken more than three hundred men, women, and children into the mines, it is said. Not a one emerged. A few of the guards assigned to the smallest and most distant of the mine entrances reported hearing faint screams and shouts coming from beneath the earth one night, but by daybreak the stones had gone silent once again.
A gory bit of Volantene history: Centuries ago, a man named Horonno was one of the ruling triarchs of Volantis during the Century of Blood. He was very popular and was re-elected many times, ruling as a triarch for 40 years. Eventually, he grew arrogant, and named himself triarch for life. When he upset the city's ancient traditions, the people of Volantis were so enraged that they rioted, stripped him of his power, and executed him. He was tied between elephants and ripped to pieces. An illustration of his execution◊ is shown in The World of Ice and Fire.
King Maegor Targaryen, also known as "Maegor the Cruel", married several wives in an effort to conceive a royal heir. When his wife Alys Harroway gave birth to a deformed stillborn child, eyeless and twisted, Maegor's other wife, Tyanna of the Tower, told him that it had been the result of Alys having an affair. In a rage, Maegor had Alys' entire family slaughtered, then had Alys herself tortured to death by Tyanna. It took her two weeks to die, and her body was cut into seven parts and mounted atop the gates of King's Landing.
The fate of Aerea Targaryen as detailed in "Fire and Blood". After flying off on Balerion, they return over a year later. Balerion is wounded, and Aerea is delirious and running a fever so hot the knight who recovers her can feel it through his armor. There are things moving under her skin. Septon Barth tries to treat her, but the fever grows so intense her body begins to smoke and burn from the inside out. Her skin chars into crackling. Her eyeballs boil in her skull and explode. She begs to die and whispers things so dreadful Barth refuses to record them. Desperately, he lowers her into a tub of ice, which kills her from shock... at which point the things inside her come out. He describes them as "slimy, unspeakable things", "worms with faces" and "snakes with hands" (one of them as long as his arm) that make horrific sounds as they writhe and die, creatures of heat and fire unable to survive the cold. Small wonder that the official story put out was only that Aerea died of a fever, because Barth certainly had trouble sleeping after facing that.
Following on Aerea's fate above, Barth deduces that Balerion the Black likely flew them to Valyria...which leads to the very chilling question of just what the hell is in Valyria. Even more ominously is Balerion, the oldest and strongest brute of a dragon alive returns with fresh injuries...
The fate of the last army of the Rhoynar, described in A World of Ice and Fire. After defeating a Valyrian army complete with three dragon lords at a city farther up-river, they marched on the Summer Sea port city of Volantis. Despite heavy losses, the death of two dragons and retreat of a third showed them that the powerful animals weren't invincible. Unfortunately for them, the deep water trading port was valuable enough for the Volantines to call on reinforcements from Valyria itself. Up to three hundred dragons arrived to break the siege, burning thousands of the Rhoynar alive and forcing the rest to drown themselves in the river's boiling mouth.
Prince Garin, commander of this last great Rhoynish army was locked in a crowcage and forced to watch as all the survivors from the above metioned Dragon apocalypse were put to the sword. So many were killed that the great harbor of Volantys became red with blood.
In a broader sense, the very existence of dragons in an otherwise fairly realistic Early Modern setting is nightmare fuel. There's magic in the series, but it's rare and usually smaller in scale. Dragons are powerful in a way that could only be compared to a modern fighter-bomber aircraft, and the largest examples (like Balerion the Black Dread) seem to be capable of doing damage equivalent to at least a small nuclear weapon. This, in a world where most people are still fighting with swords, bows, and spears. Even the defeat of three of them by the Rhoynar was apparently only possible through magical means. With even a modest ground force to support them, they can turn most battles with forces that have to use mundane weapons into bloody massacres. The conquest of most of Essos by Valyria and of all of Westeros by a minor family of dragonlords is an almost foregone conclusion.
The Valyrian Freehold itself, beneath all the wondrous technology, lost marvels and hereditary beauty found even in its descendants, is pretty damn horrifying. The Valyrians enslaved anyone and everyone they conquered and forced them to mine silver and gold in appalling conditions; so many people died that the Freehold had to constantly make conquests to top the mines up with more slaves. And Gogossos, one of their penal colonies, pioneered new methods of torture and blood magic, including allegedly forcing enslaved women to 'mate' with animals in order to produce monsters.
Almost tame compared to most of the examples, but during Fire and Blood, when Good Queen Alysanne visits the Wall, she tries to make her dragon fly past it. The dragon refuses, three times, before she gives up. The Others scare dragons. They might not even have been active at that point, not even doing anything, but a full-grown dragon flat-out refuses to go near them.
King Viserys I was one of the nicest kings Westeros ever had. Not terribly good as a king, and too eager to please, but definitely nice. Then, after an incident where his son Aemond lost an eye in a fight with his grandchildren by Rhaenyra, started because Aemond insulted their parentage, Viserys made the decree that anyone who called the kids bastards again would lose their tongues. As some members of House Velaryon learned, Viserys was not kidding on this one.
Lady Alys Oakheart, a noblewoman who lived during the age of King Aegon I, probably had the worst wedding in the history of Westeros before the Red Wedding. As she was saying her vows to Ser Jon Cafferen, Lord Wyl of Wyl showed up uninvited, slaughtered Lord Oakheart and most of the guests, forced Alys to watch as he gelded her husband, and then his men took turns raping her and her handmaids before selling them to a Myrish slaver.