- Trixie's experience in "Crisis On Two Equestrias". Imagine waking up one day and finding out that the world is all wrong. Your friends have been replaced by warped mockeries of themselves. The monster you've been terrified of since your birth is walking down the streets and nobody even cares. Your mentor, the person you love and respect beyond any other, is reviled as a mad demon. Everything you knew, everyone you loved, has been twisted out of all recognition.
- In the same vein, Raindrops being put into Trickster Mode in "Eye Of The Hurricane". Praise all-merciful Luna that at least this version isn't infectious.
- The fact that not even the Magic Of Friendship could heal Corona's mind.
- Corona's madness gets both more horrifying and heartbreaking after some revelations in "An Early Reunion" and "The Return of Tambelon". In order to fight Celestia one on one without dying, Luna had to steal some of Tirek's magic, and became Nightmare Moon. As Corona explains, Luna's (well, her duplicate's) ego would have been smothered beneath all that concentrated ego. So that last thing Corona sees before getting trapped in the sun for a thousand years is a twisted mockery of her little sister, who's just gotten the Elements of Harmony to work for her, and is now completely unopposed. And Corona can't do a damn thing about it. So no wonder she's no less sane getting out than she was going in, if that's what she had to deal with.
- Think all that is bad? Think very hard on what Cadenza is. She's a copy of Luna who was turned into a living weapon to be used against Luna's insane sister. Luna poured all her rage and hatred into it, and then topped that off with some good old fashioned demon magic to make it strong enough to fight Corona. Yes, it was purified via Harmony, but every time that Luna sees Cadenza, she has to think "This is what I can do if pushed. This is how far I'm willing to go if necessary, how much I'm willing to debase myself, and I did all of this- all of it- to try to stop my beloved older sister, who I couldn't even save from herself." And think how this revelation might be for Cadenza, too. "You were created to be a disposable monster." There are characters from full-fledged anime, books, and shows that don't have that level of nightmare fuel in their backstories.
- Corona and Cadenza's meeting from "An Early Reunion".
- Discord's first appearance, right at the end of Past Remnants. The Watcher tries looking at Canterlot, only to find it near impossible. Then he hears someone say "no peaking from the peanut gallery", and is instantly blinded. Oh, Crap! doesn't exactly do it justice.
- The Glass Kindgom shows us the lovely fascist police state that is Zaldia, where State Sec can march into a restaurant, arrest two foreign nationals and drag them off to god-knows-where, before reminding the ponies watching they didn't see a thing.
- The story also shows how hideously deluded and paranoid the nation is as a whole, where one snobby ambassador threatens to have Trixie arrested for trying to "bribe" him (she was trying to give him a gift), and under the palace they keep anti-alicorn weapons, which they're convinced are what is keeping Luna out of their country.
- Not to mention that Zaldia is also virulently tribalist. They've driven out almost all the pegasi (which they blame Equestria and its allies for, incidentally), and the remaining population is about three-quarters unicorns, with earth ponies as a quasi-servant caste. And the really creepy part? The earth ponies don't even understand that they're being oppressed. As far as they're concerned, this is normal.
- And the best part about this horrible place? The Changelings have managed to worm their way in. And they might actually be more reasonable and friendly than the ponies they're replacing.
- Details from after Ocellus shows up make this more plausible. Changelings feed on love, but hatred is poisonous to them, so it actually is in their best interests to make everyone happier. It's just they're not doing it to be nice, they're only doing it for themselves.
- Bon Bon's mental breakdown in Past Remnants. As we the readers see Celestia gradually regaining her mind, it's easy to forget just how terrified most of Equestria is of her.
She was standing on a rain soaked hill, the mound of gray stone poking from the dirt like a cracked tooth. The lyre mark was freshly carved into its surface, the edges still crisp and clear. A three sunflower marked stone rose next to it and so on down the line. Six graves, for six ponies.
- More than that, Bon Bon is also having to deal with the fact that the mare she loves has put herself in harm's way in the past, and is going to continue to do so in the future. And sooner or later, one of those monsters is going to get lucky.
- The changeling in The 'Ling from Another World does a pretty good job of showing just how scary a shape-shifting emotion eating alien could be. Even worse, we learn right from the get-go that this changeling is just lost and hungry - it's not actively malevolent and isn't acting in any way in concert with whatever the rest of the changelings are up to. Yet it still manages to be terrifying.
- Cheerilee's madness in Sergeant-at-Hooves. What starts out as just mildly worrying, as she bothers and irritates the other Element Bearers starts getting more and more extreme, and when Ditzy tries confronting her about it, we see just how wrecked Cheerilee's become from her panic, when she starts spinning a hypothetical situation about what Ditzy would do if Dinky were kidnapped, brushing off all of Ditzy's attempts to head back to saner shores. And then she starts working on a scenario where Ditzy would have to Mercy Kill her daughter.
- The not-cultists from Nightmares Yet to Come. Their first on-screen action is managing to effortlessly break into Trixie's residency and Twilight's library in the middle of the night, and plan to use them for... something. But that's not the only scary part. Over the first several chapters, Trixie runs into several ponies who are, without her knowing it, members. Including Luna's right hand pony. They Look Just Like Everyone Else!.
Nightmare Fuel / RainbowDoubleDash's Lunaverse