- Everything about Neo Arcadia. The genocidal dictatorship, the Golems, the Eight Gentle Judges (who are anything but), and the Pantheons (especially the zombie versions) are creepy as heck, and then there's Copy X...
- For a more specific example, the 'Retirement Facility' where Reploids deemed outmoded or Mavericks are destroyed. This would be pretty bad, but when you get there, you can see a pile of destroyed components. You're essentially in a robot slaughterhouse that they didn't even bother cleaning up.
- Speaking of the Pantheons, they're the series' signature mooks that Zero cuts through by the dozens. The player's even introduced to them emotionlessly gunning down Resistance members, with visible blood, including one directly in front of Ciel, which doesn't exactly live up to the underwhelming performance. Except, as Complete Works artwork once showed◊, they were either planned to be totally normal Reploids armed with masks to make them seem like generic faceless hordes, or they weren't just concept designs and Zero tore his way through multiple army's worth of ordinary Reploids that stood no chance against him.
- This music that plays before a Boss Battle. So much that it was also used as the Game Over theme.
- Elpizo's screaming during his transformation in M2 can shock the player if one is not prepared for it.
- You know Ax-Crazy Omega from Zero 3? Destroyed 90% of Reploid life and 60% of humanity, and would have done more if he wasn't stopped? That was what Dr. Wily wanted Zero to be. If not for Sigma contracting the virus, it would have happened with the original Zero. Also a rare fusion of Nightmare Fuel and Fridge Horror. Word of God is that they had considered making Omega the personified Maverick Virus, though they didn't make a final decision.
- This "music" that plays during the final stage of the series. It really sets the stage as you do battle with one of the evilest characters in gaming history.
- Everything about Dr. Weil is nightmarish: he's a psychotic, immortal Mad Scientist who's responsible for the current condition of the world. Unlike Wily who just wanted to Take Over the World, Weil wants to run people into the ground as a result of his own horrific fate. The only thing scarier than his actions is his mentality. Even being dead doesn't stop him trying to wreck the world.
- Zero 4 in particular had the climactic final battle. For one thing, after Zero arrives at the core reactor of Ragnarok, Dr. Weil not only reveals himself to have survived Neo Arcadia's decimation, but you get a closeup of his creepy face, which shows at least half of his face torn off with a mechanical skull revealing itself while grinning psychotically (as seen above, and enough to give the Coachman from Disney's Pinocchio a run for his money), and he is even heard laughing demonically and maniacally. The fact that "Fate: Theme of Vile" (Dr. Weil's name was Dr. Vile in the Japanese version) is playing in the background also makes it even more tense, and it's even more frightening when hearing Dr. Weil's speech in the radio drama track taken directly from this scene.
- Then, after merging with the core, the mood turns even more intense with the use of the song Fractured Border. Even after this form is defeated, the Ragnarok cannot be stopped from crashing, and then, when things couldn't possibly get worse, Weil reveals himself to have survived yet again, coming out of a hole in the floor. It's even more intense in the drama track where you not only hear Weil laugh before he speaks and reveals himself to have survived, but there is even sounds in the background that sounded more similar to a thunderstorm. Then he merges himself even further with Ragnarok with wires forcibly being shoved into him (The Drama Track even has Weil grunting in pain, indicating that the transformation process to be quite painful, and the Japanese version of the game even has it becoming a bloodbath while witnessing the transformation), and his completely merged form with Ragnarok looks even more horrific, with the Official Complete Works even referring to it as a "sinful abomination of a second form."
Nightmare Fuel / Mega Man Zero