^ the Clockwork Orange videoclip is what makes Alex Descends/Korova truly frightening for me.
If You Wear That Velvet Dress is (as said by Bono himself) haunted. I don't want to talk about that song too much, but let's just say it's haunted. It's one of their creepiest songs for sure. And I love it.
But then we have to differenciate the lyrics and the music. The guys have written lirically scary songs (Seconds, Bullet The Blue Sky, Last Night On Earth) that don't come across as specially frightening as others whose lyrics are lighter. Exit does obviously have both senses. I would argue Dirty Day, Love Is Blindness and Tomorrow do too.