Nightmare Fuel / Europa Universalis

• Playing as a native faction, it can be quite chilling to see the continent you call home become rapidly overtaken by European colonists who view you with contempt. Fighting them back, while difficult, is still possible.
• Playing as a minor nation in the Balkans. The Ottoman Empire is an existential menace to your very existence, and you will be at a disadvantage when they come to your gates.
• One of Wallachia's missions is "Impale the Sultan". Completing this mission features an event which describes the Ottoman capital burning as the occupying forces massacre the population. Outside the city walls, the Sultan is impaled before a wooden stake and dies in sheer agony. His son and heir is Forced to Watch before being subjected to the same fate.
• Playing as the Ottoman Empire, you get an event where you choose which of your ruler's sons will succeed him. This event alludes to the fact that all the other sons, including the ones you don't pick, will be executed.
• Playing as Denmark, it's possible to orchestrate the Stockholm Bloodbath and massacre a large number of Swedish nobles who trusted you enough to come to a summons. Naturally your junior partners are horrified, as Sweden's opinion of you bottoms out for years to come.
• Periodically your cities will be ravaged by disease outbreak, and even if you spend a lot of money to treat the illness the event makes it clear a lot of people will die.
• Playing as a Reformed nation, if one of your counties converts back to Catholicism then the pastors in your country will see it as a sign that the apocalypse is coming.