The reason for Storm's severe claustrophobia: When she was a little girl, a plane involved in the Suez Crisis dropped on her family's house, killing her parents instantly, and burying Ororo under the rubble, where she stayed for days... with her mother's mangled corpse right in front of her.
Ichisumi◊ the Pestilence, a.k.a. one of Apocalypse's Horsemen. Her mutant power is to release an infestation of near omnivorous yume beetles stored within her own body by dislodging her jaw, spawning from her mouth in massive swarms either devouring or disfiguring her intended mark. She is also able to mentally link with them when they return to her as each and every individual being her colony consumes also imparts unto them; and subsequently upon their habitat/queen, much of the victims' memories. You think the power to control insects like Ant-Man's power is lame? Think again!
Mountjoy is a rarely-seen mutant criminal from the future with a truly horrific power that combines The Assimilator with pure unleaded Body Horror. He can absorb other beings into himself, a process he refers to as a 'merger', and if he doesn't 'divest' the victim they are eventually digested, with Mountjoy gaining all their abilities. At one point he absorbs a normal woman, and as he proceeds to monologue to himself the woman's screaming face rises out of his head, followed by her arms briefly flailing from under his coat. He doesn't even pause in his monologuing, suggesting that this sort of Body Horror is just par for the course, and when the woman's face rises up again he just gives his forehead a little smack and smirks to himself while remarking that he "loves it when they struggle".
Masque's creatively villainous use of his powers was mostly implicit/told-not-shown throughout most of the Claremont run, but towards the end he wrote some stories where it became horribly explicit, and Masque used it to abuse female(?) Morlocks in really nauseating ways.
Genosha, pre-Magneto. Imagine the South African apartheid, only ramped up to a thousand, and with a side of Mind Rape and Body Horror thrown in for good measure.
What the Dark Phoenix did to Mastermind after she came out of his Brainwashing.
The Shadow King is a demonic-looking being who can control people's bodies, so it goes without saying that any scene involving him is disturbing or horrifying to the extreme.
That... thing that was imprisoned in a Shi'ar starship that crashed on Earth. It eats souls.
The animated adaption of the post-apocalyptic Days Of Future Past storyline. Everything about Bishop's Bad Future. The worst part about it? No matter how many times Bishop (and later Shard) travel to the past and set right what went wrong, nothing changes. Plus, that time era's Forge has Wolverine's bare skeleton suspended in a tube. Also the telepathic vision Xavier recieves from Bishop of the nightmarish future.
Xavier: We have FAILED...
A bit of YMMV, but it's possible that multiverse theory is in play here. Basically, Bishop's interfering in the past did technically save the future, but doing so created an alternate timeline split off from his. So while "our" timeline is safe, Bishop's is still the same, and nothing he does will fix it.
The ultimate fate of Graydon Creed in the series, being left at his father's doorstep. Said father? Sabretooth. The line Sabretooth delivers is simply chilling.
Sabretooth: Come to papa....
A montage was put together of what would happen if Phoenix/Dark Phoenix were allowed to run amok. The results were fire covering the entire Earth. Sleep tight, kiddies.
The effects of the Legacy Virus. It makes circuits appear all over your skin.
The first episode of the Phoenix Saga ends with Jean Grey essentially being burned alive; the scene cuts out on her agonized screaming, and then the screen fills with a particularly scary-looking version of the Phoenix...
The end of the first part of Bishop's second appearance has Apocalypse straight-up murder the X-Men, on-screen. Even worse is how sudden it is. He grows to fifty feet tall, snarls at the X-Men, and in a flash they're incinerated.
There's a part during the X-Men's fight with Apocalypse where, instead of his usual ham, his voice goes incredibly low. And compared to that ham, it's very unsettling.
Watch me, and TREMBLE, for I bring the purity of oblivion to your world.