If you look at Changeling the Lost for the World of Darkness, it talks quite a bit about Fae and True Fae, specifically their role in interfering with mortal's lives. A Fae often kidnaps a mortal for their own use, be it something as common as slave labour to something as specific as a torch (in this case the mortal would be burning and would feel the fire as they normally would, but don't die from it).
In addition, Fae in WoD harvest humans emotions like a drug, and so sometimes people are kidnapped and made to do certain things in order to get a certain emotional response out of them. For example, a Fae that's addicted to harvesting fear may kidnap a mortal and manipulate Arcadia (the land of Faerie) to manifesting apex predators to hunt the mortal for the rest of eternity.
There are, of course, Fae who get addicted to happier emotions, and thus attempt to spoil their mortals, but more often than not it turns out to be demented, like the Fae who forces mortals to eat chocolate ALL the time. It starts off like a dream and then slowly turns into a nightmare as the mortal realizes they have nothing else to eat for the rest of eternity.
Basically when I storytell for Changeling prologues (a Changeling is a mortal who spent time in Arcadia and has escaped, but not after their bodies were altered by the magic surrounding them. The "torch" may now have the ability to manipulate fire after being exposed to it for so long, while the hunted may become more rabbit-like, better suited to escape a hungry predator) I like to prey on the players wildest dreams or nightmares. Recently I did two prologues that went as such:
The first player is a sort of ladies-man. He really enjoys his girlfriend and often makes sex jokes and alludes to sexual things. I decided to run with this theme, and started him off having sex with all the women he desired. His character loved it at first, but when he realised there was no break, no food, no water, nothing in his existence but endless sex, it transformed into a horrid life.
The second player is very religious, and as such I made his prologue more hell themed, placing him in an inescapable slave labour scenario where he was forced to feed infinite coal into a furnace.
Whatever the application, Fae should be viewed more as powerful entities that draw off of the PC's own fears. Being able to tie such a scary opponent into a characters life in such an intimate way will make it an even more powerful encounter for the players. Basically, have fun when using Fae in your adventures, and be creative! Don't feel restricted by in-game literature or rulebooks, as the best ideas usually come from you and your knowledge of your players.