Mothy/Nightmare Fuel

The top example is probably Conchita eating herself
The Madness of Duke Venomania is pretty disturbing as well, with the title character making a Deal with the Devil in order to lure women into his harem and keep them as sex slaves.
Allen's fate in Story of Evil.
- And what Rillianne did to Elphegort.
Tailor Shop on Enbizaka. ALL OF IT.
Madame Merry Go-Round. Especially the end: " If you can't leave the amusement park, don't blame me..."
- Less frightening if you think of the replay button...though not necessarily much.
  - This last line was actually a mistranslation. The real line is " If I can't go back to how I was, then I won't hold a grudge for that..." YMMV as to whether or not this is better, especially when you consider that Word of God has stated the premise to be Gammon Octo's prediction of the Doll's fate...
Margarita systematically poisoning everyone in her entire town in Gift from Princess Sleep-Bringer, and then she felt incredibly happy for it and poisoned herself too.
Mothy's crown jewel of HONF would be Red Shoes Parade. As cheerful as it sounds, once you realize exactly what's going on, it ends up making Conchita sound like a Sesame Street song. IT'S THAT. FREAKIN'. TERRIFYING!
The song Flames of Yellow Phosphorus on its own is just sad, but the PV is truly disturbing.
In Capriccio Face, we have Conchita's servants. Especially Len.
Gallerian's slasher smiles. Especially THIS ONE.
Flower of the Plateau, in which Mikulia kills two people, an ex-suitor/client and her own son because they're the only ones who know that she used to be a prostitute. The imagery really doesn't help.

A flower must NOT be unsightly...

The Master of the Hellish Yard is as terrifying as she is awesome. Seriously, just look at her. And to think, that's Gumi^{[dead link]} under there!
The ending of Retrouver of Silver, the manga story in the guidebook, in which Ney stabs Mariam in the back while grinning maniacally.
The ending to Wendy. Wendy (played by Rin) tries to follow Peter Pan out of her room. But then reality ensues, she falls out of the window and dies. And it's all sung to an endlessly cheery beat.
Handbeat Clocktower, manages to make Ney even more terrifying than she already was. Apparently, she managed to get a hold of Conchita's glass and uses its power to possess the dead!

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