Harry Potter and the Prisoner of Azkaban (novel)/Nightmare Fuel
- Boggarts. Creatures that can exist without anyone knowing their true form is pretty unnerving, but the fact that they can take the shape of the thing a person fears most, which can change on the person's mindset, and inhabit any given corner of the globe is pretty damn terrifying.
- "Dementors... are among the foulest things that walk this earth. They glory in decay and despair. They drain peace, hope, and happiness from the air around them." Rowling tried to dream up a demon that could scare anyone. Her solution was a monster that literally eats joy. And souls.
- More specifically, Dementors are allegories for clinical depression, and anyone who's ever had it knows that some of the thoughts that float through the depressed mind are absolutely horrifying, including "kill yourself, you worthless waste of space".
- Wormtail betrayed Harry's parents to Voldemort, even though they were his best friends. When his remaining friend, Sirius, chased him down after James and Lily's deaths, Wormtail caused an explosion that killed dozens of innocent people. Pinning his mass murder on Sirius and ensuring Sirius's twelve-year psychological torture in prison, Wormtail escaped.
- Worse, he escaped by turning into a rat and got himself adopted as the Weasleys' pet. For twelve years, the Weasley family was unwittingly sharing their home with a murderer.
- Remus' transformation, in both the book and the movie. It's both the way it's clear that becoming a werewolf is painful, and that he's trying to not become a monster, as his sanity goes and his pained whimpers slowly change to growls as the wolf takes over and... yeah.