So you have a scene set up, the villain is ready to commit some horrific crime, how do you make the scene even scarier? How do you establish this is a particularly depraved and dangerous individual, without any tension breaking exposition or over the top acting? Quite simply, have them whistle.
Amongst humans whistling is an almost universally understood expression of joy. As such portraying the villain cheerfully whistling away, quite often to a well-known upbeat tune, a piece of classic music or a nursery rhyme, is a wonderful quick way of establishing someone truly depraved enough to enjoy their vicious acts, the cheer and calm created by the whistling contrasting sharply with the horror created by their depraved acts.
There are generally two versions of this: in the first the villain will be portrayed as whistling because they are genuinely happy, displaying their sadism and cruelty. In the second, the tune will be slow and stilled and the villain instead comes across as detached and almost bored. The whistling is their way to make the time go faster, thus emphasizing their sociopathy and their non-reaction to such horrific acts.
Like all variations of Subverted Innocence, the idea of turning something so benign and sweet so much on its head, the sheer feeling of dissonance this creates is guaranteed to make any scene featuring it much scarier.
If used enough that it can become the villains Calling Card, then expect there to be at least one scene where we don't see the villain, we can just hear them whistle, as they stalk the latest target, leaving the audience constantly on edge that someone is about to die.
Compare Ironic Nursery Tune, Tuneless Song of Madness and Ominous Music Box Tune, which employ similar subversions of innocent tunes and rhymes for Nightmare Fuel. Also Wolf Whistle which is used specifically to sexually harass people. Contrast Not-So-Innocent Whistle when whistling is still used to hide a misdeed, but is played for comedic effect rather than horror.