FEAR IS A MAN'S BEST FRIEND

The only album that ever actually frightened me? White Light/White Heat. I'm talking scared, like I couldn't listen to it for months at a stretch.
The thing just sounded like the ricketiest carnival ride in the lowest circle of hell.
Other contenders? Unknown Pleasures, I suppose. But that wasn't so much fear as a desire not to listen. Closer is glacial, antiseptic, sad, and pristine... but not scary.
Entertainment! is jittery and high strung, but probably more exhausting than frightening, when all is said and done.
There are others, I'm sure, but the dissonance that comes from that black slab tends to drown them out...