The Nightmare Levels reveals that the Dark Carnival from the previous gameenslaved some of its performers in the past, including Ishmael (who played "JoJo" at the time). While his segment isn't played any more seriously than the others, the fact that it opens with him breaking out of a repurposed animal cage raises some horrifying questions.
If you don't Read the Freaking Manual, it isn't obvious how to remove bone leeches and the like. While this is the case, walking into any dim area or murky pool is terrifying, as at any time a monstrous creature might jump onto you, completely filling the game screen, and (slowly) kill you. Even throwing a Bone Leech or a similar monster off your face might matter little considering their striking (and annoying) habit of latching back on you moments later.
The Fanatics look and sound like normal human soldiers... until you take enough health off them, at which point they start convulsing and let out a decidedly inhuman shriek; they then get back up and bum-rush you with explosive intent. The Extra Crispy mod runs with the implications and has a Shikari occasionally burst out of a slain Fanatic.