The Millennium Trilogy/Nightmare Fuel

General:

 * The character Zalachenko ("Zala") with the burns inflicted by Lisbeth as a child; the make-up of the burns to his ear is severe Nightmare Fuel and can stay in your mind for days. Not to mention the beating-up part too.
 * The original Swedish movie, some very detailed rape scenes. The scenes in the American film are hardly any more delicate.
 * From the several hour long anal rape part, to what actually did to his victims, to what happens to  in the end of the second book... Creepy stuff.

The Girl with the Dragon Tattoo:

 * All the faux-religious murders and the recurring sexual abuse scenes. Then when Mikael discovers the full extent of  the killer's evil. The images of the girl victims, their skin gray and huge bug-eyes staring in terror, will stay with you.
 * The freaky opening titles are a magnificent achievement in Surreal Horror.

The Girl Who Played with Fire:

 * Many scenes from perspective, especially, are extremely creepy.