Code Geass/Nightmare Fuel

• Everyone's favorite Psychopathic Manchild, Mao, ends up shooting C.C., and then takes out a chainsaw with the intention of making her "compact" so he could bring her on a plane with him. Remember that C.C. cannot die. Meep.
• Thanks to C.C.'s immortality, in the end of the first season her Knightmare was crushed by water pressure, with her inside. And then, inbetween seasons, she resurfaced. Rather... disturbing mental image.
• At some point, we're treated to a montage of C.C's various deaths. All of these deaths are violent. Burned at the stake? Check. Put inside an iron maiden? Check. Shot at least twice in the head, once in a battlefield and another in front of Lelouch? Check please.
• When everyone's favorite idealistic Rebellious Princess, Euphemia, is accidentally ordered by the power of Lelouch's geass to kill all the Japanese people- an act so contrary to her nature that she actually tries to resist it at first, a feat unseen even when Lelouch previously ordered people to kill themselves. But once she submits, all of a sudden her cheerful, polite sunshine demeanor is telling everyone in Japan to commit suicide- and when that doesn't work, she orders her soldiers to massacre an entire stadium's worth of them and more. With her incredibly cute blood-soaked dress, utter polite speech, red-tinted Geass eyes, and the fact that she still wants to run the special province of Japan with Lelouch (wait, are there Japanese people in the special province of Japan?), it is a truly terrifying picture to behold.
• In the last episode of R1, Lelouch fights Cornelia atop the palace. This would be awesome, but Cornelia's face during this is a psychotic leer fueled by her full-blown sister complex after what happened to Euphie and battle rage. Yikes.
• A scene early in the second season, in which Suzaku holds down a panicked, screaming Lelouch while the Emperor erases the memories that best define who Lelouch is, is emotionally intense enough to qualify here. It certainly doesn't help that certain aspects of the scene are reminiscent of rape. Especially the way he tries to close his eye, only to have Suzaku force it open to meet the Emperor's line of vision. Very hard to watch.
• Lelouch ordering a large number of people to kill themselves, which happened more than once. This on its own is bad enough, but it is made into Nightmare Fuel by how none of the soldiers fight against the order (unlike Euphemia), and kill themselves whilst smiling.
• The scene near the middle of R2 when the Black Knights are in the laboratory where the engineered Geass-children are. About four of the children, after Geassing a Black Knight to shoot another, look up at Rolo and shout, "Big Bro Rolo, is that you?" all smiling and whatnot. Then Rolo smiles back, and promptly shoots them.
• In Episode 10, Kallen uses her newly acquired Guren and her Radiant Wave Surger on Jeremiah in his Sutherland. We get to see Jeremiah being microwaved ALIVE. Jeremiah has a total Freak-Out upon seeing that Zero is nearby. He was full of rage and vengeance, refusing to eject even though he was being microwaved, right before our very eyes... Thankfully, his Sutherland auto-ejects, but still...
• But the king of Nightmare Fuel in Code Geass is probably Charles', Marianne's, and V.V's Assimilation project, the Ragnarok Connection, which looks like it was ripped straight out of Neon Genesis Evangelion, includes Conspicuous CGI columns of what appear to be human souls, and ends with Charles and Marianne evaporating into glowy dust as they scream at Lelouch!
• And V.V., for his part, may very well be Code Geass's Nightmare Fuel representative! He looks like a standard-issue Creepy Child. This would be creepy enough, but it turns out he's really Charles' twin brother! And he's physically dangerous, with weapons and the like. And he's head of the Geass Cult, a rather shady, creepy society in and of itself; as well as being one of the architects behind the Ragnarok Connection (see above). And then there's his rather Squick-y death scene....
• Schneizel's Dissonant Serenity. He declares that he will become a god, for the sake of world peace. And how would he achieve this? He would nuke cities, at the cost of countless lives. He would be ruling through fear, to ensure that no one ever dares to disturb the peace, lest they be nuked. Cornelia of course, thinks he's insane, and he is! He then guns her down with no remorse. As he does this, he remains calm and serene. It's horrifying.
• Rolo. A Tyke Bomb who can stop one's perception of time and assassinate you in an instant. Deaths are nothing to him, he even points it out in a rather bored tone below, although it's a little paraphrased.

Rolo: "I kill so much, I don't count them all. Nobody counts how many times they brush their teeth, or eat a meal. It's just like that."

• Charles mind-raped Nunnally to make her believe her mother Marianne had been murdered in front of her, mixing this with having the seven-year-old girl crippled to make the whole deal more believable. As a result, poor Nunnally was not only confined to a wheelchair, but also went blind out of trauma.
• Lelouch's mother, Marianne, constantly erased and rewrote the memories of Anya Earlstreim, an Action Girl who had become her vessel through Grand Theft Me, to cover all of this up. The poor girl was left as an emotionless wreck, as she never really knew which memories were truly hers and which were not..
• Shirley's nightmare has everyone wearing masks and laughing creepily.