Nightmare Fuel / Captain America

• Arnim Zola proves himself a geneticist so horrid that even Mengele would retch. This is best seen during a flashback in 'Castaway in Dimension Z', showing that he attached the head of his servant to the body of a dog, leaving her fully aware and in constant pain the whole time.
• The Red Skull himself, when written well. Not so much because he's a terrorizing villain (though he is), but because he can sometimes show little bits of what made fascism and Nazism look attractive to non-villainous people. Message boards show the reaction of comic-book fans who read his propaganda lines on stuff like how unlimited immigration is bad and think, "Wait a minute, this makes sense" — Only to realize a moment later that they've been had, it's the FREAKIN' RED SKULL saying it. This is precisely how Hitler got into power: By sounding reasonable to many millions of German voters. That's infinitely more chilling than any stock villain rants or "killing" of minor characters. When a villain of Complete Monster caliber can make a really good point about his ideas, you can definitely be scared.
  • The simple fact that in the Marvel setting, there exists a Nazi underground powerful enough that it makes sense from a national security perspective to worry about it. Unlike in real life, radical right-wing politics are running an actual international terrorism on par with militant Islamic groups. And they're lead by a guy who is for all intents and purposes a latter-day Hitler, with all that entails.
  • The Red Skull's red skull? Most of the time, that's not a mask. That's his actual face. To explain; the Skull has a weaponized gas he likes to use on people which melts the skin off their head and leaves the skull colored red. During a fight with Steve, Skully got a dose of his own medicine, but it didn't kill him.
  • The Red Skull has also managed to infiltrate and subvert the US government on two separate occasions. The first time, he had the head of the Commission for Super-Human Affairs as his agent. The guy in charge of handling the US government's approach to superheroes (usually trying to arrest them for no good reason) was answering to the goddamn Red Skull and no-one noticed. The second time, the Skull cuts out the middleman and manages to become Secretary of Defense.
• During John Walker’s run as Captain America, his identity gets exposed and his parents are kidnapped by a domestic terrorist group called Watchdog. They’re brought before him at gunpoint as he’s unmasked and about to be hanged. He breaks free of his cuffs and noose in an attempt to save them, but they’re killed during the fight. Walker snaps and tears through every last one member of Watchdog before cradling his dead parents in his arms talking to them as if they’re still alive.
  • After this, John's mind takes a serious hit. He goes after the people who revealed his identity - Left-Winger and Right-Winger, who used to be his sidekicks (they revealed John's identity out of spite for not being brought on when he was made Cap). John beats the two up and ties them upside down in an oil refinery, before starting a fire with the means of escape juuuuust out of their reach. As he walks away, the two think they might have got it and KA-BOOM.
• "Hail HYDRA." While already quite scary for showing zealotry to a fascist terrorist organization, this particular instance is said by none other that Captain America himself. THE Captain Patriotic of fiction, THE Big Good, Cape, and Paragon of the Marvel Universe has been a HYDRA sleeper agent this whole time! Of course, it turns out the truth is a lot more convoluted than that, but it gave people quite a good scare for a while.
• The introduction of Mother Night. Steve goes investigating into the disappearance of Bernie's sister, only to find the Sisters of Sin, a group of teenaged girls who once worked for the (at time presumed dead) Red Skull. They're abducting teenagers and taking them to a camp where they're indoctrinated into hate mobs. And not in comic book style, with hypnosis or telepathy or the like. Nope, Mother Night and the Sisters just use the same things real world cults would do. And any kid who objects? They burn them alive. Steve very nearly ends up killed by all this.
• Speaking of the Sisters, there's their leader, Sin. She's the Red Skull's daughter, and every bit as monstrous as him. Did we mention that her conception wasn't willing? The Red Skull saw a woman who looked like his mother and... well...
• Think Captain America himself, the icon of Incorruptible Pure Pureness for the Marvel U, can't be scary? Oh, he can. Push Steve Rogers too far, and see what happens. At the end of "The Captain", Steve breaks into the office of the head of the CSA, wanting to find out why this man seems to have made it his life's mission to ruin Steve. As they talk, the phone goes off. Steve glares at the man and tells him, very calmly, to answer it now.