The Elder Scrolls/Nightmare Fuel

Daggerfall:

 * Dungeons in Daggerfall are worse than all the Sixth House Bases Morrowind could throw at you. You're completely lost. It's past the deadline for whatever quest you went there to do. You never did find that quest item you went there to find. All you want is to find something that looks familiar and hopefully get out this damn maze. Every single door you open creaks, and all you can hear are the screams of a very angry undead thing echoing through the cavern.
 * What was worse was all the undead in the capital. They weren't scary looking, but their color made them almost impossible to see at night, when they came out. So you would begin taking damage and not know what it was.

Morrowind:

 * In one cave of Morrowind, you can find several dead bodies, skeletons and a potion ingredient: Human flesh. Squick.
 * Corpus. A hideous disease that burns out the mind and twists the flesh, leaving the person nothing but a gibbering horror. Even worse, those infected with Corpus become immune to disease, and no longer age. Meaning there's no way out, save by a violent death.
 * The ash creatures. They are all creepy, but the fact that they all used to be human as well just pushes it beyond creepy and full-on into Nightmare Fuel.
 * The castle Tel Vos. Normally, it's not that creepy, but when you explore the depths you find that it's (almost) entirely abandoned and overrun with giant plants. The part that drives it home is how you keep finding diary entries from those who worked in the castle as everything went to hell.
 * Morrowind's dungeons often contained Daedric shrines, which invariably had offerings laid out in front of them. These were always valuable objects, precious stones, weapons and such. But there is a catch: The Daedra the shrine belongs to views those objects as its own, and evidently does not take kindly to you thieving them. One of the offerings- just one- will if you touch it immediately summon something very nasty behind you.
 * A similar example happens in a Dunmer ancestral tomb. When exploring such tombs, at times you will come across an intact skeleton, laid to rest. Nothing unusual, these are tombs, after all. In one such tomb however, after picking some loot, one of the skeletons is awakened and attacks you. It's a little unsettling in that the skeleton is in a different room when this happens, so you'll be treated to the combat music without an enemy in sight, only to walk out of the room and find that the skeleton you just walked past have been reanimated.
 * In-Game book Chance's Folly. The insane warrior's vicious betrayal of the young thief is quite disturbing, as she is sealed for the rest of her life in room with no way out. And to top it off? It's not fiction, either. Try dropping in to one of the ancestral tombs in Morrowind...

Oblivion:

 * The titular dimension. It's filled with demonic-looking beings, lava pits and a red sky that is deeply unsettling. The resident zombies and corpses are always intensely disturbing. A simpler name for it? Hell.
 * The vampire dreams are creepy, and a big reason why you rarely see sleeping vampires...let's see, a normal looking woman with a child turns out to be a corpse mother, and a plague bloated child, or your flesh bubbling and falling from you...or...eating at a normal banquet that turns out to be filled with larvae, which eat through your stomach, necromancers dissecting your body with scalpels, being buried alive, death by sneezing, and having your mouth sewn shut as you try to drink from a pool of blood...creepy. And this is just text. Imagine if Bethesda actually decided to show the imagery being described...
 * The penultimate quest for the Dark Brotherhood, "Following a Lead," is by all means disturbing:
 * You are told to hunt down a traitor to the brotherhood. First of all, you'll find that the traitor, in what seems to be a homage to Alfred Hitchcock's Psycho, keeps the severed head of his mother in his basement. Once found, you're told to return to the quest-giver, Lucien Lachance. However,
 * The actual basement. Everything from the lighthouse keeper's reaction when you get the key to the moment you decide to leave that pit of Hell is horrifying. Part of it's the rotting, mutilated corpses--animal and human--littering the basement. There is not a square yard of space that doesn't have something grisly in it. But mostly, it's the diary you find by the desiccated and mummified head...
 * Literal Nightmare Fuel in the form of the Vaermina Daedric Lord quest. A wizard has turned his fortress into a literal nightmare world, filled with upside-down rooms, dark abysses, and lots and lots of detour horror rooms, particularly one that has you standing on a pillar in the middle of a vast black space filled with caged corpses and horrible screams. Trying to leave the dungeon via the wrong exit shows it situated in the middle of what looks like Hell. After trekking through this waking nightmare, you finally come to Arkved (the wizard) lying asleep on his bed near the artifact he stole from Vaermina. There are notes scattered about that imply he was at first eager and excited to explore her realm, but the last one merely reads 'I shall lie here in the dark waiting for death.' Vaermina says when you return to her shrine that Arkved 'will live out the rest of his days in nightmare' EVEN IF you killed him. Which essentially means you've killed Arkved's physical body, but Vaermina still has his soul.
 * If you played Oblivion on the PC and were deeply disappointed by the version of Mannimarco you meet there, a mod called "Mannimarco Revisited" is for you. With it, ol' King of Worms is back to being a scary bastard, instead of a whiny-voiced necromancer.
 * From the same mod, Ghostly Apparitions are light blue translucent wraiths. They have no real attacks, but what they do have is enough to give any player the creeps: they rush at you making a horrible ear-piercing shriek, until they run into your character, paralyzing them and leaving them open for attacks from other enemies. The message you get when this happens, "Ghostly Apparition paralyzes you in fear!" is probably true for the player as well as the character.
 * Also from MMM is the undead resurrection effect, which is to say the possibility of just about any undead monster to rise from the dead after being apparently killed without warning, and for apparently inert corpses and skeletons to come to life and attack. Good luck going through an undead dungeon without looking behind you every few seconds.
 * On the east coast of Niben Bay, there's a location called the Cadlew Chapel which looks like any normal chapel out of town. The chapel
 * The one Thieves' Guild quest where the player had to infiltrate a certain stronghold had him or her walk through a small tunnel with the floor flooded with water. This flooded area is revealed to be a deep pit.
 * There is a quest that requires you to go on a haunted ship to release a spirit. The ship isn't so scary as it is only filled with ghosts but when you reach the end of the ship, you face a wraith as a boss which keeps wailing creepily. Since the wraith was now dead, you think nothing else scary would pop up but after you release the spirit in the back room, when it vanishes, it does a noise ressembling a sudden, loud, ghastly scream.
 * Anything and everything behind the Oblivion Gates. Particular mention goes to the "containers" used in place of standard treasure chests: mutilated torsos that, when you check them for items, make the same sound as when you remove meat from a roasted rat. They're labeled in-game as "The Punished."
 * That house opposite of the player's Skingrad mansion. Yeah, you're going around at night, breaking into some houses, stealing this and that? Well, you might want to skip said house, because it's full of ghosts and zombies. Who the hell would expect that?! It's in the middle of a freaking town!
 * Sheogorath's  Even Haskill is freaked out by it.
 * In the shivering isles expansion, north of New Sheoth, there's a zealot stronghold on a tall hill, inside, you go about your business mutilating them all as usual, then you find a book, detailing that people (it never clarified if they were innocent travelers or other zealots) are thrown into a very deep pit in the center of the ruins to be sacrificed to what you can only imagine to be some kind of eldritch horror, thankfully (or perhaps not),
 * The Oblivion Thieves' Guild quest "Ahdarji's Heirloom" has your character infiltrating Castle Leyawiin to steal the Countess' ring. During the information gathering stage of this quest, it's possible to have other characters tell you about the Countess' "secret torture chamber." Turns out? Those rumors are all true. As you make your way through the dungeon, you encounter this room, which is strewn with forks, sickles, and a warhammer. But it gets worse: this isn't some Necromancer layer in the middle of nowhere; this is the Countess of Leyawiin doing this in her own castle! And even worse, it's implied that the only reason this room exists is because she doesn't like Argonians.
 * If you become a vampire and you're playing a Khajiit or Argonian...there were no vampire eye textures created for the beast races, so you get the default vamp eyes. One of the creepiest things found in the game is the sight of those pale-pink human eyes in an animal face. It's remarkably unsettling.
 * The Daedric quests in Oblivion in general. Vaermina is probably the scariest, but a good few of them have you doing fairly horrible things. Completing all of them results in, among other things:
 * The Khajiit settlement of Border Watch in a panic that the world is going to end because Sheogorath (Or ) thought it'd be a fun prank.
 * A group of priests of Arkay murdered in the darkness by the group of people they were trying to save because Namira took it as an insult.
 * A Dark Elf couple enslaved by Ogres because Malacath was feeling protective.
 * One of the families in Bleaker's Way completely wiped out for some inexplicable reason known only to Mephala.
 * The only unicorn in Cyrodiil murdered because Hircine thought it would be good sport.
 * A paladin grieving for his dead wife corrupted because Molag Bal was disgusted by his virtuousness.
 * Someone from every race in Tamriel murdered because Hermaeus Mora needed their souls to divine...something.
 * Soul Gems. Binding a beings soul to a gem and then using that gem to drain their spiritual energy to make an enchanted item. The concept of having your soul ripped from your body and transferred to a gem, then to a weapon where your existence presumably dissolves as you power the item with your existence is bad enough. But then imagine those who don't suffer this fate and are trapped in a soul gem forever.
 * Oblivion also introduces us to Black Soul Gems, which exist specifically to trap human souls (which is otherwise impossible).

Skyrim:

 * in Skyrim.
 * Also related to the Dark Brotherhood storyline in Skyrim is Cicero. At first he might seem a little too eccentric and more of an annoyance than a danger. Later however, you come across his journals, written largely when he was more mentally stable back in Cyrodiil..
 * The developers of Skyrim have been critically lauded for building one of the most beautiful, interactive, vast worlds ever seen in video gaming, and rightly so. On another level however, the world of Skyrim can truly be quite nightmarish and dangerous, whether it be on the lonely northern snowfields or in a supposedly abandoned shack by the river. In its environment the game regularly generates and contrasts Nothing Is Scarier, Jump Scares, Hell Is That Noise, and many more tropes. It's all Nightmare Fuel.
 * Special mention goes to the frostbite spiders. Trolls? Tough but fine. Nord zombies? Killed zombies before, no big. Dragons? Hell, those are fun to take down. Giant spider? Run. Run as fast as you can.
 * There's even a specific "No Spiders" mod for Skyrim that just turns them into bears.
 * The Black Star. Both the item and the related quest. In Azura's quest, you can get the Azura's Star we all know and love...or an utterly corrupted version, that works on Black Souls, and ONLY Black Souls. Having this sheer unholy power is a bit on the creepy side...But the quest for it. You actually get to see INSIDE AZURA'S STAR, and meet a demented mage who's been cannibalising souls. And yes - It COMPLETELY confirms that yes - People are still aware of whats going on in there.]]
 * The Dwemer. They may be gone now, but when they were still alive, they were most certainly NOT very nice: They were a whole race of Mad Scientists who enslaved another race of fellow elves and turned them into the Falmer we know now, experimented on other races For Science!, were entirely capable of curbstomping anything the other races could throw at them with their Mecha-Mooks and superior metalworking, modified the laws of physics to fit their whims, and tried to make their own god, an attempt that wiped them off the face of Tamriel.
 * In the second Dark Brotherhood quest, "With Friends Like These...", you are abducted in your sleep and taken to an unknown location. You are then forced to kill one of three people (or all three) in order to be initiated into the Brotherhood. Exiting the shack, you find that it's a run-down, abandoned rat hole of a building that's literally in the middle of nowhere. For some reason the prospect of those people being kidnapped and dragged to a place like this where nobody can hear you scream or call for help is extremely unsettling.
 * The Falmer. They look creepy enough, but add to that the fact that they blend in with the shadows, and that odd chattering noise they make, and you've got yourself some Grade-A Nightmare Fuel.