- Let's start with Tyrion's trip to Minas Morgul, which he's sent to by his father to see what political advantages Sauron might be able to offer. Right off the back, he and his party get the sense that things aren't right with the city: its streets are illuminated with a corpse-white light and there looks to be a strange vapor rising into the air around them. Inside, the city gives off an aura of unnaturalness, as if a place like Minas Morgul shouldn't exist. Even Gregor Clegane, the most psychotic Ax-Crazy knight in all of the land, is scared of the city.
- And later on, it's shown that Tyrion was forcefully given one of the Seven Dwarven Rings alongside a hallucination in which he's shown the horrible reality of his first marriage and the role his father and brother played in it. Driven insane, he goes along with Sauron's plan to force a wedge between the Westerlands and Gondor, sending a message that will all but trigger war, and kills all other trained ravens at Minas Tirith's rookery, making it almost impossible to overtake.
- Sandor Clegane gets his own personal Nightmare Fuel in the form of the balrog of Moria. Sandor has an intense fear of fire thanks to his brother burning his face as a child, to the point that he can't even stand to hold a lit torch. When Durin's Bane reveals itself, it's as if his worst fear has been given life in the most terrible of ways: a monstrous creature thirty feet tall made of shadow and flame. Sandor, one of the hardest killers in his world, is so terrified of the balrog that he actually wets himself.
- Qyburn's unfettered mad science experiments that he conducts when Saruman takes him into his employ are downright freaky in their results. One of the things he did was replace the blood of some orcs with a brew of their draught to make them immune to pain and has them drink another to send them into a berserk fury. It almost makes you feel sorry for those orcs.
- The Witch King is flat-out terrifying here. Essentially, everything that made him such a terrible enemy in canon is cranked up to eleven and moreover, those traits are shown first hand rather than someone else relating them. His very presence is enough to make even Tywin Lannister quail in fear and his skill with a blade is such that Jaime, one of the greatest swordsmen in history, is no match for him.
- The other Nazgul are no slouches in this regard either. Case in point, Euron, who was also brought to Middle-Earth with the Lannisters, bungled up a mission for Sauron quite handily. Needless to say, the Dark Lord isn't pleased, and he's brought before one of the Nine to answer for his failure. At first, it looks like Euron is in for a session of physical torture, given that the room they're in has a nice selection of instruments of pain. He's not nearly so lucky. The Nazgul proceeds to put him through a mental torment of truly horrific proportions: he causes Euron's skin to fall off before conjuring up a sandstorm to flay him alive. All the agony of torture without so much as a needle prick. The Crow's Eye, perhaps the most ruthless and cruel pirate in Westeros, is reduced to a sobbing wreck in mere moments by the ordeal. The scene serves to show exactly why the Nazgul are so feared throughout Middle-Earth.
- You know the song, Rains of Castamere, which was essentially a song based on Tywin destroying a rival house with extreme prejudice? Well, Denethor gets treated to a version of it, courtesy of Sauron himself when he's looking through the Palantir, sung by a low chorus to the image of Minas Tirith being razed to the ground. The scariest part? Sauron is actually singing along with the chorus. Imagine a voice so terrible that men are driven out of their wits from terror and now imagine that voice singing about destroying Gondor so utterly that only ash would remain. It's a wonder Denethor didn't go insane from the experience.
- Yet, to remind everyone of another reason of how Sauron is so insidious and malevolent, Joffrey's sent a dream of Robert and Sansa, goading him to chase the Ring. In the middle of the night, he abandons Casterly with Sandor, in a mad dash for the words the vision gave him."Baggins. Shire."
Nightmare Fuel / Hear Me Roar