The Nightmare Box (actually boxes plural) were forged in a pocket realm of Hell for Thog the Demon Prince. Each Box functioned as a container for emotional energy. They began in size about equivalent to a packet of cigarettes and expanded up to about a half foot by a foot in size when full of emotions vampirically drained from the humans who "contributed" to them.
Thog seeded the world with a multitude of the boxes then when they were full made a pyramid out of them. Individually each Box was virtually without power. Together, they had the power to send the whole Earth insane.