The demonic shadow creatures used by Stannis to assassinate people. Even more disturbing is the revelation of Melisandre's rather unconventional method of transporting them: they are Stannis's children, birthed by Melisandre.
The Red Wedding, especially Catelyn's raving insanity just before they kill her. Sweet Jesus, that bit when she laughs and rips apart her own face borders on Nausea Fuel in the extreme as well.
For this troper, the mutilation of Robb's body was particularly wince-worthy.
The Others, The Brotherhood Without Banners with undead Catelyn, the House of the Undying, Ramsay Bolton's atrocities, the carnage at Harrenhal, and Melisandre's shadows. Even scenes that aren't scary tend to be very unpleasant depending on your sensitivity. Overly graphic scenes of dwarf sex and a six year old sucking on his mother's tits don't lend themselves to pleasant dreams.
Biter biting off and eating part of Brienne's face!
Almost any scene focusing on Gregor Clegane or the Brave Companions.
Dany's trip into the House of the Undying in Qarth, where she encounters visions such as rat men raping a beautiful woman (a metaphor for the War of the Five Kings' devastation of Westeros), dead men feasting with severed hands (metaphor for The Red Wedding) and a dragon bursting from Mirri Maz Duur's head (metaphor for Dany's hatching of her dragons), and which ends with the Undying whispering and screaming in her skull while sitting under a great, blue, rotting heart, and trying to basically eat her alive.
A Dance With Dragons is full of these. Theon's chapters are filled with Nightmare Fuel. There's also Ralf Kenning's fate.
The bloody flux. Particularly the scene where Daenerys tours a camp of its victims.
The aftermath of Quentyn Martell trying to tame the dragons.
The drowned city and the stone people.
Arya's encounter with a Faceless Man in the House of Black and White. Quoting it in all of its horrendous glory will do.
The priest lowered his cowl. Beneath he had no face; only a yellowed skull with a few scraps of skin still clinging to the cheeks, and a white worm wriggling from one empty eye socket. "Kiss me, child," he croaked, in a voice as dry and husky as a death rattle.
What RandyllTarly orders done to a whore that gave some of his men the pox - he has her private parts washed out with lye.
This is more of a psychological thing, but that scene in ASOS when Roose Bolton very calmly tells Jaime that the smartest political move Vargo Hoat could have made when he captured him was to abuse and mistreat him so badly that by the time Bolton heard about it, he would be too afraid of Jaime's father's revenge to ever consider letting him go home is its own special kind of awful.
Also a psychological thing, but Robert Arryn. A Creepy Child with a My Beloved Smother is bad enough, but then we learn that one of his favorite things is to "make people fly!" To put this into perspective, this is a six-year old who likes to watch people be thrown off of a mountain, and whose mother seems to have no problems letting him give the order to have it done. Yikes!