Found at http://www.bbc.co.uk/nightmares, and cut/pasted here for my future reference more than anything else:
John Carpenter – The theme from The Prince of Darkness – the 1987 movie. Plus the repetitive piano bit from Halloween in the haunted house.
Brian Eno – From Another Green World – Big Ship – and In Dark Trees
Charles Ives – Symphony number two – 5th movement. Putnam’s Camp from Three Places in New England. Plus a bit from Central Park in the Dark
Ennio Morricone – Theme from the 1970 film Investigation of a Citizen Above Suspicion And a Morricone piece from the 1980 Pontecorvo film Ogro
Shostakovich – Lyric waltz from the Ballet Suite No 1 and a bit from The Young Lady and the Hooligan
John Barry – The Ipcress File
Soundtrack to The Voyage to the Bottom of the Sea – Paul Sawtell and Jerry Goldsmith
Colours by Donovan
Baby It’s Cold Outside – the 1949 version by Johnny Mercer and Margaret Whiting
The best noises come from Skinned – which is a whole lot of samples from the archives of the band Skinny Puppy
Also, all three episodes in streaming realplayer format can be found here – found via Arthur magazine, which also links from its blog, Magpie, a Village Voice piece by the author of the films, Adam Curtis.