The entire character of the Thin White Duke has always disturbed me, especially when watching live videos of him. There's a lot of times where he'll be singing and the camera will turn to his face, and he'll look completely emotionless. Like, dead-behind-the-eyes Empty Shell level of emotionless. Brrr...No wonder Bowie gave up on characters after that guy. It would be Nightmare Fuel even without the whole Fascism thing.
If you listen to the end of David Bowie's "Space Oddity", you'll hear a lot of dissonant sound that's increasing in pitch. If you take the song by its literal meaning, it could easily represent Major Tom's brain going into its death throes from anoxia. Also a Last-Note Nightmare.
Another Bowie song, "I'm Afraid of Americans" comes off as a sort of hooky, angry song until the end. Then, it seems paranoid at the realization that "God is an American", and he keeps repeating himself over and over, almost in disbelief. It's subtle, but it's there.
"All The Madmen", where the protagonist is willing to endure stuff like electric shock therapy and lobotomy in order to escape from an increasingly insane society.