Nightmare Fuel / The Legend of Heroes: Trails of Cold Steel

• In the third chapter of the first game, you will face off against a bunch of Jaeger dropouts and Gideon. After beating them, Gideon uses his artifact, and summons Ginosha-Zanak, a giant spider, and leaves - without the Jaeger dropouts, who are defenseless - one of them gets EATEN. Granted, you don't actually see it happening, but you can hear him scream.
• Loading screens in Cold Steel III normally display the game's logo. After particularly dark scenes later in the game, this logo changes to a dull metallic colour on a blood-red backdrop, looking more like something out of a horror game. It hits harder if you aren't expecting it, especially as the first time it happens is after Angelica gets shot.
• Just how quickly everything goes to Gehenna after Ash shoots Emperor Eugent... and this is before the Curse is unleashed. Soldiers are everywhere, Heimdallr is locked down to the point that Emma and Gaius have to brainwash the guards into ignoring the combined Class VII just to get in, and anti-Calvard sentiment is skyrocketing, which is being deliberately exacerbated with hate rallies. No-one can blame Juna for being horrified at the general atmosphere in the city, especially since it likely reminds her, a Crossbellan, of the run-up to the independence referendum, similarly marred with deliberately stoked and only somewhat less vicious anti-Erebonia sentiment. In fact, she and Jusis sum it up best after seeing a hate rally in Dreichels Plaza:
  Juna: This is horrifying...
  Jusis: And all according to their plan. It won't be long before war as things stand.
• Rean losing his control over his Superpowered Evil Side in Cold Steel III is scary to look at. What makes it worse is that after the final boss fight, he still keeps on hacking the boss for a good amount of time!
• Rean getting corrupted by Ishmelga after Rean completes the Great One. Made worse by Ishmelga trying to possess him that Rean's solution is to kill himself outside of Zemuria. And judging by Reverie, he fails at this and is now completely possessed by Ishmelga who now has the power of the combined Fire and Earth Sept-Terrion.