Nightmarefuel / Expeditionary Force

• The Elders themselves. When the Merry Band of Pirates encounter the body of a member of the species, Joe describes them as what the Kristang would look like if they evolve further, and the Kristang are already pretty nightmarish being brutal looking reptilian aliens. Skippy reveals that the Elders had the ability to modify their bodies to suit their needs.

• It's revealed in Book 9: Valkyrie that the Elders did not ascend because they found all the answers in the physical realm and sought to learn about the metaphysical, they were running away from something that originated outside the Milky Way Galaxy. In order to ensure their security, they created a shield that covered the entirety of the Milky Way plus the Sculptur Dwarf Galaxy, and left behind the wormhole network and several other constructs like those in the Roach Motel to help power the shield, and Guardians and Sentinels to protect them. The fact that the all-powerful Elders were scared enough to run away from anything is nightmarish.

• The fact that if things go wrong, the human race has an absolutely zero percent chance of winning in a stand-up fight against even the lowest-tier species in the galaxy. If events had gone differently, and Skippy hadn't been found/listened to/etc., it's entirely possible humanity would be extinct (or on it's way to being so). In fact, it's become the working assumption amongst the MBoP that humanity's extinction is inevitable, and that they're just buying as much time as possible before that happens.

• Sentinels. Ancient devices of unimaginable destructive power are just sitting around the galaxy waiting for a reason to wake up and smash everything within range back to the stone age. Joe and even Skippy feel very uneasy just being near one even though it is powered down. In book 13 they do wake up and the two that the Merry Band of Pirates attack seem to screw with local space time simply by existing.

• The situation that humanity finds itself in at the midpoint of the first book. They've been attacked by an alien race, then were saved by a second, only to find out that the first only attacked to reduce our usefulness to the second race, and the second, which we allied with and seemed like saviors, are actually little better than insanely misogynistic Nazis. How horrible to not only find out you're on the wrong side, but the "good" side, while avoiding deliberately targeting people when possible, is - has to be - more concerned with the war they're in than humanity.

• In book 15 the Elders return and capture both Joe and Skippy, They decide to punish Joe by forcing him to watch the death of every living being in the Galaxy and they will then abandon him alone on his homeworld. They demonstrate this by killing the crews of Valkyrie and the Flying Dutchman and somehow making Joe watch every single death at once.