The idea of being hunted by body-snatching spirits in your sleep/astral travel, especially if you've had dreams resembling Astral Projection yourself. Thankfully, in real life, if something goes wrong, waking up is usually as simple as just desiring to be out of the nightmare. The characters encountered also can't interact with the waking world or obstruct your ability to wake up...usually.
The said 'old lady' is actually the ghost of a male serial killer named Parker Crane. And his back story doesn't help; he was a a man who dressed as an old woman in a black wedding gown whilst committing his murders, and after being hospitalized for self castration, he committed suicide. It's all because of his cruel, abusive and downright terrifying mother who beat him whenever he acted like a boy and insisted that his name was Marion. Seriously, she's arguably more terrifying than him!
To add, the way he had... well... the assemblage of his victims corpses when found by Loraine, Carl, Specs and Tucker in his home. It becomes much more unsettling when they make an appearance in The Further version of the Crane home, when Mrs. Crane hides among them.
During the second film, Renai receives a phone call from the detective working on Elise's murder, informing her that no evidence of Josh's DNA was found on Elise's neck marks. This means that Parker Crane's influence is so powerful he's able to change his host's fingerprints.
Quinn getting thrown from her bed and injuring her neck, meaning that all she can do is lie still and watch as a demon walks around her room, turning off all the lights and getting ready to attack her.
Demon-possessed Quinn effortlessly taking down three other people, then breaking away her casts and walking towards her father on broken legs, complete with horrible crunching sounds.
The faceless, limbless representation of Quinn in the Further.
"The man who can't breath" is very unnerving in the buildup moments. Always waving to Quinn. And knocking on the wall. It's the settle things that work for him.
The Last Key:
A non-paranormal example with the opening of the movie, showing Elise's past. With her still having her gift, but with her abusive father who literally tries to beat it out of her. Hitting her in the back with an iron crowbar and tossing her to sleep in the dark basement, and this obviously not being the first or last time he did this.
The scene where Elise and Tucker are lead to a cellar downstairs, expecting to find some sort of paranormal entity on the other side. What they do not expect, however, is an imprisoned woman, very much still alive, chained by her neck to the wall. Just as audience members are likely trying to put the pieces together, Garza enters the room, with a gun aimed squarely at Elise and Tucker.
Garza hearing Specs walking around upstairs, and asking, "Is that your friend?" before locking Elise and Tucker in the basement and quietly going upstairs to try and kill Specs, who is completely unaware that the seemingly hapless man he's been trying to help wants him dead.
The revelation that Elise's father was secretly getting up to the same activities as Garza when she was a child. Even worse, Elise met one of his prisoners, but failed to realize that she was actually alive, so she left her behind to be killed.
Even worse; the implication that Key Face influenced Elise's father and, therefore, Garza, into torturing and killing women.
The way he captures people: He shoves his key into the victim's neck to silence them, uses a knife on it's finger to cut into their upper chest, and then puts another key there to knock them out. And then takes their souls into his prison.