Nightmare Fuel / Star Stealing Prince

• The Dream Sequences.
• The almost Silent Hill-esque castle in Snowe's dreams certainly don't help.
• The Slaughterer, a mid boss that can be found in Snowe's dream. It at first hides in the walls and causes damage to Erio and Snowe as they run in narrow, straight-forward blood-covered hallway variations with complimentary creepy high-pitched screams synced with brief flashes of red light for each said scream that cover the entire screen when you progress beyond the shining "warning point" that they must run straight through without stopping since, while the first iteration of the hallway isn't too damaging, the ones beyond it are very dangerous and will lead to a Non Standard Gameover if you don't heed Erio's advice, and then it suddenly shows up to fight just when they're about to reach their goal.
• The Bad Ending, dear God.
• While the good ending seems to be hopeful, Snowe's irregular heartbeat can still be heard, indicating that his problems with the Demon are far from over.
• The Old One. If you go to the catacombs after beating him and listen at the wall where the door he came from was, you can hear him trying to get out. He's still alive(ish), still wants to kill you and everyone you love, and he's trapped in the basement under your home.
• A side effect of the spell Edgar and Lina used to seal the demon in Snowe caused their bodies to decay. This also decayed their minds, and it turned out one of the things they'd stolen was the Original King's immortality. So if they hadn't faked their own deaths, they would eventually have decayed to dust. And still been alive.
• King Edgar, just in general. From the fact that he willingly and even gleefully tortures people, even children, to the fact that he apparently gloated in a diary for pages on end about locking a girl in a tower, to his general lack of empathy for anyone around him. There's one particularly chilling moment in one of the short stories where he briefly considers murdering Snowe in his sleep just because he finds him annoying.
• The whole thing with Erio and Astra's lifespans being connected gets all kinds of messed up. Edgar connected Astra and Erio's lifespans, meaning he forced immortality—or at least a very long life—on Astra, without her knowledge or consent. Then he tortured Erio to see if connecting him to Astra had any side effects such as harm to Erio also happening to Astra. And he made Hiante watch because Hiante can sense when Astra's being hurt. If Astra had been hurt, Hiante would have sensed it and been unable to do a thing about it. Astra was unscathed, but not only has her lifespan been lengthened without her permission, but something very bad was done to Erio that had a chance of hurting her too, and she has no idea. And just as icing on that bit of awful...if Snowe dies, Xiri dies with him, but if Astra dies, Xiri gets released. So Edgar extended Astra's lifespan so that she would outlive Snowe. To put it another way, yes, the plan does in fact involve Snowe eventually dying.
• Also in "A Demon"; Erio was summoned to help fix Astra's dreams. Her dreams involve her being trapped in a doorless room on fire. The two have a heck of a time escaping the room, and then they discover that the cause of it is one really terrifying scarecrow.
• The demon's fate in "A Spell of Fire & a Scarecrow". Being Sealed Inside a Person-Shaped Can is bad enough. Being skewered in place by a worried mom? Worse.
• In "Transience", Snowe's point of view is very disjointed; one minute he's falling and the next he's in bed and he loses track of time so much that he thinks something that actually happened months ago happened today. Just how much have Edgar and Lina screwed him up with all those spells anyway?
• In Fleeting it's revealed that Snowe was actually killed in the Hopeless Boss Fight with Lorel, and the only thing that's kept him going was the demon preventing him from dying completely. In short, without realizing it you've been playing as a basically dead guy.