The Lord of the Rings/Nightmare Fuel

From the books

 * The Nazgul, especially during the Siege of Minas Tirith. Tolkien's descriptions of these undead things terrifying the inhabitants of the city into hopelessness really grinds in how desperate the situation is.
 * The Witch-King definitely stands out just for this. Even without the film, the description of his 'face' is horrifying enough.
 * Combined with above, the Dawnless Day. A huge cloud comes out from Mordor, stretching as far as Rohan, plunging all of Minas Tirith into darkness.
 * In the chapter "Scouring of the Shire," it is implied that Saruman forced the starving Grima to eat the hobbit Lotho.
 * The Barrow-wight scenes in Fellowship of the Ring. The hobbits get lost in the mist, hear voices calling to them... and the next thing Frodo knows is he's waking up in a grave and there is something in the darkness with them... terrifying!
 * Everything about Gollum. Not just his ghastly appearance, but knowing that it was his addiction to the Ring which turned him into whatever creature he has become, and the lengths he will go for the Ring. The movies make it worse by giving him a schizophrenic quality.
 * Gandalf also mentions that during his search for Gollum he began to hear rumors of a blood drinking ghost who "climbed trees to find nests and crept into windows to find cradles".

From the film version
"boom
 * Bilbo Baggins' completely pants-wettingly out-of-left-field freakout in The Lord of the Rings: Fellowship of the Ring. It really does come out of gracious nowhere.
 * Try pausing the film on that moment and moving it back and forward, frame-by-frame. It makes it inexplicably more horrifying.
 * SHELOB. That would have been an excellent time for a Special Effects Failure, but nooo, you Weta bastards had to have standards...
 * Blame this one on Peter Jackson himself. Peter is an arachnophobe, and he used this to full effect to make the scenes with the Giant Spider as frightening as possible. The part that was especially creepy was where the big frigging spider was following Frodo silently from above.
 * The screech and Vertigo Effect combination in Fellowship just before the four Hobbits encounter a Nazgûl for the first time.
 * Which is actually the voice of Peter Jackson's wife, largely unaltered. Maybe we should be thankful that she prefers to keep to herself.
 * The Balrog, in Moria? Feh, that is NOTHING compared to Gandalf reading the final diary entries of the mine's dwarves. "Drums...drums, in the deep...we cannot get out...They are coming-"
 * Right then, of course, Pippin knocks a skeleton down a well, making all kinds of racket. After a tense moment of silence, Gandalf scolds him, then turns to leave. And then…

BOOM"

""I see you... You cannot hide from me. There is no life in the Void, only death.""
 * Mordor. One actually wonders how it got that way.
 * The heck with that, one wonders what Sauron's massive armies are eating.
 * Imagine being there before the battle of Helm's Deep, when 10,000 uruk-hai are standing before you in the dark and the rain, armed to the teeth, then start smashing their spears on the ground in unison and screaming at you. The atmosphere was captured so beautifully, it's no wonder everyone looks about ready to shit themselves.
 * While the Witch King was quite badass in both the films and books (and also the game he was in), one cannot help but become slightly unnerved when he removes his helm.
 * When one puts on The Ring, they turn invisible. It's because you enter a shadow dimension where the only other one there is the DARK LORD OF ALL EVIL. It's Alone with the Psycho on a cosmic scale.
 * To say nothing of what Sauron says to Frodo when he puts the Ring on in The Prancing Pony:


 * Technically speaking there are lots of things in the Invisible World, including bad things like the Nazgûl and the Barrow-Wights, but also good guys like those Elves who saw the light of Valinor.
 * In that vein, the second time Frodo puts on the ring, he sees the faces of the Nazgul, all horrifying death rictuses.
 * Galadriel's temptation by the Ring, with absurd amounts of reverb on her voice as she declares herself "Beautiful and terrible as the morn! Treacherous as the seas! Stronger than the foundations of the Earth! All shall love me and despair!"
 * After Frodo tells Sam, "The Ring is mine," there's something unsettling about his smile before he puts the Ring on.
 * There should be something unsettling, given that the Ring has just seized what could have been permanent control of Frodo.
 * In the extended edition of ROTK, we get the Mouth of Sauron. Most unnerving set of teeth with a creepy voice to boot.
 * The Dead Marshes. The description was creepy enough in the book, but in the movie the dead look like underwater, ethereal zombies.