While traveling with Elyas in The Eye of the World, Perrin and Egwene get a hands-on view of just how dangerous the flock of ravens tracking them is when it rips apart an innocent fox in seconds. Egwene has to throw up just thinking about it later.
Turning. If you have the right amount of people, in a short time, they can force you to The Dark Side, against your will. Nynaeve is reduced to screaming helplessly when finding out she, Egwene, and Elayne were being prepared for it near the end of The Dragon Reborn.
We get to see the effects of this in the final book, when Taim and his Darkfriends try to Turn Logain. The latter has will of iron, and he's at his breaking point when saved. He never goes evil, but until the last few chapters of the series, he's unhinged from the experience.
The scenes where Rand is going through the test at Rhuidean. Not because of the revelations themselves (which are Tear Jerkers), but because of the fact that the Aiel man who got there before him becomes increasingly overwhelmed and unhinged by the revelations, to the point where Rand eventually sees him clawing out his own eyes and chewing up his own tongue. Doubles as a Tear Jerker when Rand knows he won't be coming back out of the gate and leaves him behind, yet we never learn exactly what happens to him or his body.
One of Rand's memories from being Lews Therin involved entering a city that had been attacked by the Shadow during the War of Power only to discover that everyone who had not sworn allegiance to the Dark One was tied up and thrown screaming into the fires that had been started at every crossroad.
Early in The Path of Daggers, Merilille breaks her Aes Sedai calmness and shouts a Big "NO!" when she sees Aviendha trying to undo her Gateway weave as there would have been considerable repercussions had she made a single mistake. We find out later what that is when a damane shields Elayne and forces her to drop her weave when repeating the same thing: A Magic Nuke that decimates the area on both sides of the Gateway and, despite being far away and on the other side of a hill for cover, all of Elayne, Aviendha, and Birgitte get seriously burned and end up covered in their own blood. If Nynaeve hadn't been nearby for Healing, they would have all died.
Jaichim Carridin's execution in The Path of Daggers. He had crossed the Moral Event Horizon several books ago, but having brandy forced down his throat until he drowned in it couldn't have been pleasant. Falion Bhoda, recurring Black Ajah sister, being Forced to Watch and threatened with the same fate earns her a little sympathy as well.
The scene where Aviendha sees the very possible future for the Aiel in Rhuidean: It consists of her children by Rand leading the Aiel into what becomes a very protracted war against the Seanchan, eventually getting beaten down, the White Tower itself falling to the Seanchan, the Aiel clans being either destroyed or reduced to shadows of their former selves, being pushed back into the Aiel Waste and still mercilessly hunted by the Seanchan, and finally reduced to a shattered vestige of their former culture, having totally lost their sense of honor and duty, and all but extinct as they scavenge whatever they can find off travelers in the waste.
It's a one-off line as Rand prepares to face Moridin, but Shaidar Haran's final fate is terrifying. He's already Nightmare Fuel, now imagine his withered husk of a corpse.
Rand's battle with the Dark One. We see a world where everyone is a slave and Nynaeve is a Forsaken. Then we see a world without Light where everyone has no conscience. And finally, we see a world without Shadow. At first it looks like a utopia, but then Rand looks into Elayne's eyes and realizes just how wrong things are.
Poor ol' Perrin? While it was one of the most necessary deaths there was, crushing Lanfear's neck with his bare hand while being compelled to love her is decidedly horrible... He's explicitly stated to be weeping over her body.
Balefire: A Dangerous Forbidden Technique that not only renders its target Deader Than Dead, but messes with the Pattern to the point of rewinding time as it causes its target to die before the actual moment of impact. Overusing it is quite capable of destroying the Pattern itself, something even the Dark One couldn't do. It's one of the few things even Cadsuane is afraid of and she expresses that by slapping Rand and warning him to never use it again. Winter's Heart reveals that it's the only thing the Forsaken fear more than someone losing control of the Choeden Kal and destroying the world.
The Dark One's increasing hold over the world as the series progresses, beginning with the unseasonably long winter followed by an endless summer a year later for the first half of the series until the retrieval and usage of the Bowl of the Winds. Afterwards, an unnatural famine takes hold of the world's food supply as, revealed in Crossroads of Twilight, insects that should be dead in the winter cold are thriving among harvests and it only gets worse until the end.
Perrin and his entourage encounter a man who is coughing pretty badly and several wonder why he's working at his station when he's so sick. Moments later, the man begins to repeatedly vomit streams of live beetles and his body is described as "deflating like a balloon." Appropriately enough, Perrin can smell nothing but terror from everyone around after they witness that.
How Seanchan treat damane. And worse, how the damaneend up liking it. To take just one example: Sheraine Caminelle was captured and collared by the Seanchan when they arrived at Falme and refused to cooperate, trying to kill herself by refusing to eat or drink. Tuon muses:
The der'sul'dam all had despaired, saying she would not live long, but now Mylen smiled up at Tuon and leaned forward to kiss her hand even before she reached to stroke the damane's dark hair. Once skin and bones, she was becoming a trifle plump. Instead of rebuking her, Catrona, who held her leash, let a smile crease her usually stern black face and murmured that Mylen was a perfect damane. It was true, no one would believe now that she had once called herself Aes Sedai.
Slayer, a Professional Killer for the Shadow who specializes in people and wolves, and is composed of two identities: Isam Mandragoran and Lord Luc Mantear.
Which wouldn't be too bad, a killer with a (really) twisted soul. But get this: he can get to you wherever you are, if he knows where you are, and he can even kill you in your dreams if you dream vividly.
The sheer horrific level of what Forsaken have done are terrifying. Lanfear was known for her hobby of driving people to suicide using Tel'aran'rhiod. Graendal brainwashed many people, mostly nobility, to adore and love her, making them like animals, then killed their children, boasting about her kindness. Semirhage... well, read below. Ishamael, with his manipulations leading to the destruction of the biggest empire in the world (and the rise of another one) also counts; and it without mentioning his goal of destroying existence altogether. He also drove Lews Therin to suicide by revealing him that he killed his own family when he went mad. Mesaana conditioned children to be bullies and killers, and they were so notorious that they were remembered millenia after being destroyed. Demandred destroyed whole cities, if there was someone who had disrespected him. Feeding people to Trollocs, which was possibly done by all of them. The sheer level of their insanity and pettiness is ... unnerving, to say the least. And it's not even breakfast!
There's some stiff competition, but Aginor might take the cake among the Forsaken. While the series doesn't go into too much detail, there are enough implications about the creation of the Shadowspawn to give anyone nightmares. Just one example is the Trollocs, which were made by crossing humans and animals somehow. To feed them, Aginor set up what were essentially giant concentration camps used to breed people to maintain a steady supply of human victims for the armies. Yikes.
Unlike most of his colleagues, he continued to impact the world after being sealed at Shayol Ghul—the Trolloc Wars are the most glaring example, but the things he created have posed a constant threat along the Blightborder for three thousand years, and have probably killed millions over that period. Oh, and he was also the one who developed jumara/"Worms", as well as the gholam.
Semirhage, undisputed master of torture. Back in the day, she so terrified her jailers that they smuggled her to freedom themselves. Some of the atrocities committed by the other Forsaken and Darkfriends also qualify. Her captives desperately tried to commit suicide so not to fall in her hands. Even her fellow Forsaken are afraid of her!
Her Establishing Character Moment, where she breaks an Aes Sedai by doing...whatever the opposite of Cold-Blooded Torture is to her Warder, easily rivals anything involving damane or Hinderstap (see below) for "creepiest moment in the series." Arguably made worse by the coldness of both her POV and her motive: to obtain information that will allow Aran'gar/Halima to infiltrate the Salidar Tower more easily. Her victims were small pieces in a much larger game, and it resulted in them being snatched up by the Shadow, used, and presumably disposed of without anyone the wiser.
Demandred, on the whole, is one of the less evil Forsaken. He's always calm and composed, ruthless but not particularly cruel, and is the only Forsaken to actually bother to treat his minions with a modicum of respect, who in turn has great loyalty to him. He even seems to believe that if he wins the Last Battle for the Dark One, he'll get put in charge of reshaping the world, and will therefore be able to protect it from the worst of the Dark One's excesses. Word of God even calls him a Hero of Another Story in regards to his actions in Shara. There's just one little snag - he hates Lews Therin Telamon. Hates him more than anyone has ever hated anything, apparently. Hates him so much he's willing to topple empires, move armies, and risk The End of the World as We Know Itall to get at one man. That level of hate is terrifying, especially as it comes from someone who's nearly a Noble Demon otherwise.
Shadar Logoth has Mashadar, the Fog of Doom that messes with peoples souls while killing them extremely painfully, though it lacks the voice or preference.
The human breeding camps Balthamel set up to provide food for the man-eating Trollocs.
That's not as bad for Nightmare Fuel as eating normal humans: In a war that lasts hundreds of years, and possible lengths of generations of 13 years or so, the people in the camps would be way more ok with the whole thing than normal, former free people. Still horribly scary to think about, though.
One aversion becomes Paranoia Fuel after Moghedien tortures Nynaeve for a while, with the latter eventually waking up and trying to figure out why there isn't a mark on her.
Probably the worst (best?) example is from Lord of Chaos, where Elayne, Siuan, and the leaders of the Salidar Aes Sedai stumble upon a nightmare of a Trolloc Torture Cellar. Elayne manages to get everyone to work together to dispel it, at literally the last second (i.e. just before her throat would have been cut).
The sinking village in Knife of Dreams. A perfectly innocent-looking village with a group of peaceful-looking folk. Completely harmless, right? Then Mat spots a huge inconsistency (namely, his implanted memories informing him that there haven't been roofs made like that in several hundred years) and realizes it's a dead village. Then it starts to sink into the ground, with the specters present continuing to act normally. Except that a peddler got caught there as it starts to sink, and Mat's group can only watch in horror as the man screams in terror and sinks with the village. Worst of all, this overlaps with Paranoia Fuel, as the entire group starts to wonder if the peaceful-looking field they next camp on will sink too.
Hinderstap, the village of people who transform into bloodthirsty killers after sundown, and then kill everyone in the vicinity and then each other. And then they wake up alive again in their beds the next morning, remembering it as a vivid dream. And this happens every night, and they can't escape.
Apparently invoked deliberately. Word of God is that Sanderson came up with the concept of Hinderstap after Jordan's widow requested he put something "creepy" into Gathering Storm to reflect the Dark One's increasing hold on reality. "Creepy" being the understatement of the year...