The manga and anime have a plentiful Gorn when it comes to monsters. A good example is Crablante who, by pulling on his eye socket, pre-hero Saitama managed to completely pull out all his innards with massive amounts of Alien Blood raining down. This comes especially surprising to international viewers since the series is not labeled as a Seinen as it is in Japan.
Just the setting in general is Nightmare Fuel, especially for normal people and even lower-tier heroes. Horrific monsters capable of anything from killing dozens of people to annihilating entire cities are practically common occurrences. Anyone can become a monster, even that one guy who just ate way too much crab one day and anything can set them off. Think the heroes will protect you? With the exception of those in S-Class (of which, there are only 17) and a scant handful of those in A and B Class, most of them seem to be just normal people in costumes. So the odds of them being strong enough to beat the monster of the week/day/hour is close to nil.
One of the bonus chapters lessens this somewhat, as it shows that even the average C-class hero is far more physically capable than a normal person (not to mention the B- and A-Class heroes, who are typically many times stronger), which just makes it even more horrifying in hindsight because they're still pretty much useless.
The Mosquito swarm, which can drain a human dry in the span of seconds, leaving them to crumble to dust.
The House of Evolution conducts hundreds of dangerous experiments in order to create what he thinks are perfect beings, starting from animals then moving to humans. Judging by his creations, he would have nearly succeeded if it wasn't for Saitama. Zombieman was revealed to be one of his experiments.
Sea King's rampage. Despite their best efforts, no hero could stop him. He enjoyed every bit of terror and suffering he caused to both heroes and civilians, and had intended to kill and eat all of them. When Genos tells a little girl who was with her father to run, he spits acid at them, which Genos blocks but it dissolves much of his body, leaving him helpless. The acid's effects on Genos and the little girl's reaction to it were hard to watch.
The part where Sea King just appears right behind Lighting Max. One moment, he was maybe miles away, and the next, he was right behind him. It took him literally moments to get from one spot to another.
The Deep Sea King's appearance and design don't help either, specifically some of the faces he pulls (such as this◊ one), his pale flesh giving his humanoid "dehydrated" appearance an Uncanny Valley look to it. His hydrated state is even worse, his face taking on a more shark-like look that seems to peel back his lips to reveal More Teeth than the Osmond Family, and the faces he makes then are outright horrific◊.
The acid attack itself was actually Fridge Horror: basically, Genos' body was destroyed and he was rendered helpless while people he couldn't protect were about to be killed by an insane monster. Where have we seen that before? Oh, that's right: when Genos' hometown was destroyed. You can watch Genos struggling to get up, despite being a head and a torso, and you remember that he's been here before: this is probably bringing back literal nightmares for him.
Another Fun Fact: In the English dub, he's voiced by Vic Mignogna, aka the guy who did BROLY.
Not to mention the most creepy distorted music in the show. Whenever he's onscreen, he plays this music...
Being a criminal in the prison of PriPri's territory.
While this counts as fridge more than nightmare fuel, when Boros kicked Saitama into space, Saitama hit the moon. Keep in mind that Boros was not aiming for the moon. The odds of hitting the moon with a projectile (Saitama in this case) without aiming for it are astronomically low. If Saitama hadn't hit the moon, he would have just kept sailing away from Earth forever since he can't fly.
Saitama could have still escaped if he missed the moon by taking nearly any article of his clothing (a button, the head of his zipper) and simply flung it in the opposite direction. Given his immense strength even a small amount of matter being propelled into space would have reversed his course and sent him back to earth.
Garou with his "Hero hunt". He is so strong that nearly all the S-Class heroes and others are unable to stop him. Especially in the end where he transformed into a monster and curb stomps even Tatsumaki. Fortunately he was given a lecture by Saitama
Speaking of which, the circumstance of Homeless Emperor's death. As he was about to give info about said character to Zombieman, said character took back Homeless Emperor's powers and life before he talked anymore, the implication being that he was perhaps silenced before giving away said info which also imply Homeless Emperor was being watched.
For someone with such a good public image, Handsome Kamen Amai Mask can get pretty creepy. The way his veins bulge when he uses his power hinges on Body Horror and his lack of mercy towards mysterious beings is played rather seriously yet goes unnoticed by the general populace.
While it is awesome in its own way, Sweet Mask putting back his own arm that was just cut just like it was nothing add to the impression that something is wrong with him.
The sheer amount of power Saitama has. You'd think obliterating his opponents with a single punch would be enough (and many of those were pretty gruesome), but just the air blasts generated by his punches can carve holes through mountain ranges. He's also strong enough that black hole levels of gravity don't even impress him, fast enough to cast afterimages, and once got launched to the moon and then jumped his way back. He landed barely a few meters away from his starting position. Finally, to end his fight with Boros, he used a punch from his "serious series." The force of this punch not only split Boros' planet-destroying beam in half, but it also split the atmosphere for thousands of miles across the world.◊ That's when it became clear that Saitama had been holding back his full power the entire time. All those one hit kills? He was barely even trying with those. Everyone should be thankful that not only is he too lazy to really go all out, but that he's also a hero, even if it's just for fun.
During the Garo arc, Tank Top Master goes into detail about how dangerous Garo is, using counter-attacks and striking at vital spots and joints. "He possesses special techniques for breaking people." Saitama smiles at this statement.
The tournament arc introduces a Disaster Level: Demon monster named Face-Ripper whose entire body is covered in torn off faces, sewn together Frankenstein's Monster style.
The tournament arc also introduces Monster King Orochi, the leader of the Monster Association.
The seer Shibabawa which predicted with a 100% accuracy many great disasters had a vision that unlike the others she had before freaked her out. Unfortunately no one know what she saw, only that "The Earth is in trouble!!!" and that whatever she saw will happen somewhere in the next 6 months. And while we don't know what is going to happen, there's in the background the feeling that things are getting worse as monsters attacks keep intensifying.
Then there is Psykos's vision. She tried to look into the future and as a result saw something extremely bad. What exactly? No one know yet but it was apparently so bad she lost faith in humanity and decided that ruling over it wasn't worth it and that the only option left was to Kill Them All. When Fubuki ask her about it, she say she doesn't remember but the way she tremble with fear while she answer might be telling otherwise. On top of that, there is the possibility that what she saw was actually Shibabawa's vision.
The implications of this are terrifying if we apply Fridge Horror. The Earth might be in trouble from humanity itself, or perhaps, one single member of mankind.
Carnage Kabuto is an exceptionally terrifying monster. From the fact that he's considered too destructive and violent by the House of Evolution, which had no problems with Beast King, to the way he punched a clone so hard that his torso turns inside out, to his Berserker Mode that sends him into an Unstoppable Rage for an entire week, to some very disturbing facial expressions.
In the manga, Garou targets him during the "Hero Hunt"... And, before actually challenging him, Garou recalls the brutal beatdown Watchdog Man just gave 30 monsters without changing expression one bit, and admits he couldn't even tell who was the real monster there. He then attacks... And Garou, the one who was hunting the S-Class Heroes, is lucky to escape with his life. And Watchdog Man didn't lose his blank look even against him.
We learn how the monsters are made — the potential is inside every human, and all the monster transformations merely overcome the various natural limiters of mind and body. The most effective way of producing a powerful monster? Find a human with lots of potential, and put him in Die or Fly situations repeatedly, until his survival instinct overcomes his humanity.
We finally get to see King Orochi in action. Until now, he was a colossal Horned Humanoid, but didn't amount to much, mostly standing like a statue while other monsters did his work. When he finally moves, it is with speed an order of magnitude too great for something of that size, the Shapeshifter Weapon body unwinding into a mass of claws, fangs, and fire-breathing throats that don't discriminate between enemies, and monsters too slow to get out of the way. Worse, despite of how far he has moved from his humanity, he's still smart enough to learn, instantly, any combat moves he sees from his enemies. The manga art makes great work of showing off just what kind of terror he is to anyone who isn't Saitama.
Zombieman's fight against Pureblood amounts to a gorefest of How Much More Can He Take?. At one point, one of Pureblood's bats gets stuck inside Zombieman as the hero regenerates around it.
"The Ninja Who Is Too Complicated" suddenly turns into The Revenant near the end, though Saitama shows up before things get too brutal.