Nightmare Fuel / Oathbringer

• Shallan’s inability to draw the tower in Urithiru. Being unable to draw something is a disturbing enough thought for an artist, but being unable to draw it when it’s right in front of you is even worse. Compounded by the results whenever she attempts it - the tower being impossibly twisted towards a spiraling blackness, whether she wants to draw it or not.
  • Her sketch of a Midnight Essence. It looks like a skull stretched out and squashed into a narrow gap in the walls of Urithiru. The only clear feature are its eyes which are looking straight at the reader.
• Shortly after arriving in Kholinar, Shallan volunteers to go to the palace in disguise and attempt to pass a message to the Queen. The guards let her in, take the message, and then stab her through the chest. Stormlight keeps her just alive enough to watch as a guard carries her "body" through the halls and dumps her in a wine cellar alongside the rotting bodies of what appear to be the nobles who had previously tried to approach the Queen.
• Shallan being shot in the head, and her use of Stormlight making the wound close around the arrow so that she's alive but severely brain-damaged before she has someone else pull it out so she can heal herself properly. Since it's from Shallan's POV and she's decidedly undisturbed (probably largely due to the brain damage) it's played for laughs in a Black Comedy way á la Annoying Arrows, but the way she starts slurring words and her thought process gets creepy is enough to make it pretty horrifying.
• Adolin getting to meet the dead spren who he's been using as a Shardblade for the past two and a half books. She has eyes that seem to be scratched out, and she follows him around incessantly unless prevented. When he reflexively tries to summon the blade she twists her head at an unnatural angle to "look" in his direction and screeches at him. At one point he wakes up to find her creepily looming over him.
• The fate of the Rift. When a trap set by Tanalan fails, Dalinar retaliates by ordering the entire city of Rathalas be razed and its people slaughtered. Dalinar has his men stop Tanalan from rescuing his own family and forces him to watch them die. Tanalan then reveals that Dalinar's wife, Evi, snuck into the city the night before to negotiate and was in the hiding place that Dalinar's men just burned down.
• The Parshendi's gods: their eldest leaders, reincarnating through the Everstorm. If you are a human, they are powerful and ancient enemies already enough difficult to kill, and will just come back should you manage to kill them anyway. If you are a singer? The way they come back is by pulling a Grand Theft Me on one of their bodies. It can't be undone and whoever's body they take is effectively killed. And they have no issue dying again and again, giving little value to any individual singer life, so you can only hope you are useful enough not to have them pick your body.
• The Stormfather's description of Odium's nature in chapter 16:
  Your enemy is not a man like you. He does not age. He feels. He is angry. But this does not change, and his rage does not cool. Epochs can pass, and he will remain the same.